Dutch Mortgage Portfolio Analyzer
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Dutch Mortgage Portfolio Analyzer (Dutch-MPA) is a loan-level analytic software platform for analyzing the credit risk of whole-loan residential mortgage portfolios in the Netherlands and collateral pools underlying residential mortgage-backed security (RMBS) transactions. Dutch-MPA incorporates thousands of macroeconomic paths and loan-level models for estimating probabilities of default and prepayment.
Leverage a powerful risk management, stress testing, and capital allocation tool
- Calculate expected loss, economic capital estimate, and contribution to VaR for risk and capital management purposes.
- Customize model parameters at the loan level, including vectors of multipliers for default, prepayment, severity, and recovery lags.
- Perform loan-level analyses, producing detailed modeling of loan characteristics and behaviors for different loan parts.
- Estimate probability of default, prepayment, severity, and losses using regulatory stress scenarios and user-defined macroeconomic scenarios for stress testing.
- Build and deploy fully transparent custom models in the same platform.
Implement a framework for capital allocation, stress testing, and portfolio sensitivity analyses
- Generate monthly principal and interest (P&I) cash flows for pricing and integration with RMBS and asset-liability management (ALM) systems using a multi-period framework.
- Determine loan-level cash flows for pricing and discounting.
- Run a mixed portfolio of different loan parts, including linear, annuity, interest-only (IO), and bridge loans, loan parts with and without National Mortgage Guarantee (NMG) coverage.
- Produce forward-looking, 12-month, or lifetime expected loss calculations for IFRS 9.
- Analyze seasoned loans, new loans, and future originations.
- Quickly run large portfolios using multi-threaded technology.
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