Loan-Level Analysis Combined With Aggregate Portfolio Information to Represent Layered Risks
MPA performs a detailed analysis of whole-loan residential mortgages 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. MPA models portfolio loss distributions by simulating thousands of macro-economic paths.
Some applications of MPA include:
Support portfolio-level risk analysis (VaR), capital allocation and capital adequacy
Stress test with user-defined, Moody's Analytics provided or Federal Reserve CCAR macroeconomic scenarios
Identify loans that are causing excessive concentration risk and contributing the most to capital requirements
Determine which types of loans should be added to the portfolio to decrease risk
Create prepayment, default and severity vectors for use in other applications Examine the full loss distribution of tranches of RMBS transactions (requires separate purchase of WSA Platform)