Infima delivers superior prepayment predictions for Agency MBS
Kay Giesecke
Founder, Chairman and Chief Scientist, Professor at Stanford University
Accurate predictions of prepayment speeds are critical for security selection and portfolio formation in Agency MBS markets. Infima’s transformative, patent-pending deep learning technologies set new prediction standards, delivering performance boosting edges to MBS market participants including investors and dealers. This White Paper demonstrates the superior out-of-sample accuracy of Infima’s prepayment speed predictions during the January 2019—October 2021 period. Performance is shown to be robust across a range of market regimes including the 2020 pandemic. We validate that Infima’s speeds enable high-confidence investment and trading decisions, even in disruptive market environments.
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About the Speaker
Kay Giesecke
Founder, Chairman and Chief Scientist, Professor at Stanford University
Kay Giesecke is the Founder, Chairman and Chief Scientist at Infima. He is also Professor of Management Science & Engineering at Stanford University, the director of the Advanced Financial Technologies Laboratory, and the director of the Mathematical and Computational Finance Program. Kay serves on the Governing Board and Scientific Advisory Board of the Consortium for Data Analytics in Risk. He is a member of the Council of the Bachelier Finance Society.
Kay is a financial technologist interested in solving the challenging modeling, statistical, and computational problems arising in fixed-income and credit markets. Together with his students at Stanford, Kay has pioneered the core elements of the deep learning and computational technologies underpinning Infima’s solutions.
Kay’s research has won several awards, including the JP Morgan AI Faculty Research Award (2019) and the Fama/DFA Prize (2011), and has been funded by the National Science Foundation, JP Morgan, State Street, Morgan Stanley, Swiss Re, American Express, Moody's,and several other organizations.
Kay has advised several financial technology startups and has been a consultant to banks,investment and risk management firms, governmental agencies, and supranational organizations.
