How Better Prepayment Predictions Generate Value
Nicholas Gunther
Co-Founder and Chief Solutions Officer
MBS prepayments are volatile and difficult to predict, especially in the current environment with spiking inflation, rising interest rates and an ongoing pandemic. Infima’s disruptive, patent-pending deep learning technologies set new standards for prepayment prediction accuracy, but how much is this greater accuracy worth? As it turns out, a lot.
Join Infima's chief solutions officer and co-founder Nick Gunther, who outlines simple but rigorous heuristics for evaluating prepayment value, and uses them to show the value of Infima's increased accuracy can be multiple percentage points of an MBS’ market price, translating into annual yield pickups of tens of basis points, not infrequently over ½ a point per annum.
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About the Speaker
Nicholas Gunther
Co-Founder and Chief Solutions Officer
Nicholas Gunther is Co-Founder and Chief Solutions Officer at Infima. He has a background in advanced mathematical methods and financial markets, services, regulation and securitization. Nick has worked on the development, structuring and execution of financial products at AIG, Goldman Sachs, and other Wall Street firms. He founded registered broker-dealer GH Group and became its CEO until selling it. Nick is also affiliated with UC Berkeley’s Consortium for Data Analytics in Risk.
Nick received a both a PhD in Mathematics (1982) and JD (1986) from Harvard University.
