Infima delivers superior prepayment predictions for Agency MBS - Aug 2022 Update
Kay Giesecke
Founder, Chairman and Chief Scientist, Professor at Stanford University
Nicholas Gunther
Co-Founder and Chief Solutions Officer
Lilian Kourti
Quantitative Analyst
Accurate predictions of prepayment speeds are critical for security selection, portfolio construction and risk management in Agency MBS markets. Infima’s transformative deep learning technologies set new prediction standards, delivering performance boosting edges to MBS market participants including investors and dealers.
A companion paper outlines these technologies and distinguishes them from conventional approaches. This paper is an update of an earlier one documenting the superior prediction performance that Infima’s deep learning technologies achieve.
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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.
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.
Lilian Kourti
Quantitative Analyst
Lilian is a Quantitative Analyst at Infima. She builds mathematical and statistical models and performs advanced analyses offering actionable insights to mortgage market participants on the buy- and sell-sides.
In the past, she has gained experience through internships in the fields of IT Advisory and Private Wealth Management.
Lilian graduated in 2021 from Stanford University with a Masters in Mathematical and Computational Finance. She also holds a Diploma in Electrical and Computer Engineering from the National Technical University of Athens.
