The impetus for starting Econometric Advisors was the observation that, while waterfall modelling for structured products is well-developed via tools provided by Intex and Bloomberg, cashflow forecasting for the underlying assets is often based on ad-hoc prepayment and default assumptions. In wholeloan transactions, asset pool valuation is usually done using in-house spreadsheet models. This state of affairs is not by design, but rather due to capacity constraints slowing down the necessary technology investment. For the same reasons, post-acquisition portfolio monitoring often does not receive the attention it requires.
We drive innovation in this space firstly by front-loading the research and development
effort required to efficiently perform loan analyses. Our model implementation follows
standard best practice procedures in software development. This initially takes longer
than creating an ad-hoc spreadsheet model, but in the medium term it provides a massive
productivity boost: code is written once and used many times. Extensive use of
unit testing helps everyone sleep at night, even after introducing new functionality.
Similarly, our portfolio
monitoring infrastructure consists of easily customizable pre-built components.
Finally, we conduct extensive background research on regional economics and housing markets, providing context and increasing the accuracy of our valuations.
Stefan is an econometrician with a strong academic background and extensive expertise in fixed income markets and retail loan analysis. He started his career in academic research, first at the University of London and later at the University of Oxford and Nuffield College, where he was a British Academy postdoctoral research fellow. He then spent 9 years at Pimco's London office, initially as a quantitative macro strategist, and subsequently as head of the European ABS strategy desk and advisor on wholeloan portfolio acquisitions for the Bravo funds. In 2016, he moved to Bawag Group to lead international mortgage portfolio acquisitions, before starting Econometric Advisors in 2021.
Stefan holds a DPhil in Economics / Econometrics from the University of Oxford.