MCFAM Seminar Series: “Trends in Mortgage Rate Modeling and the Prepayment Incentive"

Please join us for our next seminar! This seminar will feature Chris Jones from U.S. Bank who will discuss trends in mortgage rate modeling and the prepayment incentive.

Friday, April 1, 2022
Noon-1 p.m.
Zoom meeting link

About the lecture

Valuing mortgages in the context of the secondary market typically refers valuation of a mortgage-backed security (MBS) or mortgage servicing rights (MSR) asset. One fundamental challenge of this exercise is that model development relies on capturing market processes rooted in behavioral dynamics. In this talk, Chris Jones will briefly review how MBS and MSRs are constructed, talk about important modeling components, and then discuss how recent trends pre- and post-COVID have impacted models for these instruments.

About the speaker

Chris Jones is a model development manager at U.S. Bank focusing on the secondary mortgage market. He has 10 years of experience in financial modeling, including model risk management, balance sheet modeling, and the corporate investment portfolio. He holds a Ph.D. in mathematics from the University of Pittsburgh.