Portfolio Analyzer (PA)

Loan-Level Analysis Combined With Aggregate Portfolio Information to Represent Layered Risks

PA performs a detailed analysis of auto loans, residential mortgages, auto ABS, and RMBS for each loan using loan-level econometric models for default, prepayment, and severity. These individual loan behaviors are correlated across the portfolio through their co-dependence on local and national macroeconomic factors. PA models portfolio loss distributions by simulating thousands of macroeconomic paths.