Mortgage Assessments

Our work is based on a compilation of quantitative tools including interest rate models.


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Security Analytics

We combine loan performance risk analysis with advanced statistical modeling techniques such as multinomial logistic regression. Our focus includes a balance of loan decisioning, performance monitoring and management of portfolio-level assets. This leads to RMBS securities and loan analysis that includes interest rates, prepayment and mortgage credit risk.                                        
Using our vast data warehouse, we develop and test behavioral models to predict all facets of loan performance. We track almost 3,000 PL-MBS deals and millions of loans.

Our work typically includes assets such as:  Agency RMBS, Non-Agency RMBS, Prime, Alt-A, Subprime, Option-Arms and Negam products.  Development efforts are utilized for portfolio analysis, Basel, PD, EAD models and economic capital models.
  • Cash flow and Valuation
  •  Loss Exposure Analysis
  • Security Performance Review
  • Security Predictive Forecast