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UK Mortgage Portfolio Analyzer (UK-MPA) is a loan-level software platform for analyzing the credit risk of whole-loan residential mortgage portfolios in the United Kingdom and collateral pools underlying UK residential mortgage-backed security (RMBS) transactions. UK-MPA incorporates thousands of macroeconomic paths and loan-level models for estimating probabilities of default and prepayment.

Leverage a powerful solution for risk management, stress testing, and IFRS 9

  • Calculate expected loss, economic capital estimate, and contribution to value-at-risk (VaR).
  • Customize model parameters at the loan level.
  • Classify loans into risk buckets and measure 12-month or lifetime expected credit loss for IFRS 9.
  • Stress test using built-in and custom macroeconomic scenarios.
  • Build and deploy fully transparent custom models in the same platform.

Implement a framework for capital allocation, stress testing, and portfolio sensitivity analysis

  • Use a single platform for risk management, stress testing, and IFRS 9.
  • Project forward-looking expected loss and cash flows.
  • Run a mixed portfolio of mortgages including prime, subprime, and buy-to-let (BTL).
  • Build hybrid models using limited client data.
  • Analyze seasoned loans, new loans, and future originations.
  • Quickly run large portfolios using multi-threaded technology.
  • Utilize a simple and intuitive user interface and a fully programmable application programming interface (API).

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