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Joined: November 19th, 2020, 5:08 pm

Analytics for Agency MBS

November 19th, 2020, 5:18 pm


I am looking at some alternatives for calculating risk and stress scenarios on Agency MBS products and wondered if anyone with experience in this area might be able to provide some advice.

I have considered Yield Book, Locus and Andrew Davidson so far.
Architecturally Andrew Davidson works best for me as it is a package I can run locally and integrate into my existing library rather than a hosted service which I would need to call via an API. 

However, feedback I have received so far is that Yield Book is the market standard for Agency MBS. 
Does anyone have an opinion on the relative strength of analytics for Agency MBS between Andrew Davidson and Yield Book?