Valuation

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Patent Office Approves MBS Model 

Jun 03, 2009By

Andrew Kalotay Associates will have exclusive rights to its new mortgage-backed securities valuation model. Coupled Lattice Efficiency Analysis (CLEAN), which determines refinancings based on mortgagor credit and then discounts the resulting cash flows using an MBS issuer’s credit, has been approved to be patented. The new model’s methodology is described as an “option-theoretic approach” to MBS valuation.

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