Alex Levin.

Author:Levin, Alex


Alex Levin has been instrumental in developing state-of-the-art models to help value mortgages, derivatives and other financial instruments. In a joint effort with Andrew Davidson, Levin developed a new concept of prepay risk-and-option-adjusted valuation. His current work focuses on the valuation of instruments exposed to credit risk, home-price modeling and projects related to the ongoing mortgage-backed securities (MBS) crisis.

His modeling and valuation work have helped explain "many phenomena of the MBS market," according to his bio. Needless to say, he is a math genius who is helping to value mortgage-related assets.

His contributions include his methods developed for MBS and loan valuation, coded in a form of efficient software, which help traders spot cheap trades, risk managers assess and hedge risk and investors understand the difference between intrinsic and market values at times of duress.

Before joining Andrew Davidson & Co., Levin was senior vice president and director of Treasury research and analytics at The Dime Bancorp in New York. While at Dime, he authored three solutions that made up Dime's proprietary pricing systems and were used intensively for both security trading and risk assessment.

Levin holds a Master of Science degree in applied mathematics from the Naval Engineering Institute. Leningrad (St. Petersburg, Russia) and a doctorate in control and dynamic systems from Leningrad (St. Petersburg) State University.

Levin was educated in the former Soviet Union. His first encounter with anything associated with the mortgage industry came in 1994 when his employer (Ryan Labs) needed to code standard mortgage amortization formulas as part of its fixed-income software.

In 1995-1996, he ended up building a system called Mortgage Solutions for Dime, with added computerized analytical tools for the trading desk and management to use.

Levin notes that all or most of the vendors for MBS, origination and servicing analytics that were born in the 1990s are still around today. He says the most success came to those who...

To continue reading