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Auto Portfolio Analyzer (APA) is a loan-level software platform for analyzing the credit risk of auto loan portfolios and collateral pools underlying auto asset-backed security (ABS) transactions. APA 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 value at risk (VaR) for risk and capital management purposes.
  • Customize model parameters at the loan level, vectors of multipliers for default, prepayment, severity, and recovery lags.
  • Perform loan-level analyses, producing detailed modeling of loan characteristics and behaviors.
  • Estimate probability of default, prepayment, severity, and losses, using Federal Reserve scenarios and user-defined macroeconomic scenarios for stress testing.
  • Build and deploy fully transparent custom models in the same platform.

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

  • Generate monthly profit and loss (P&L) cash flows for pricing, and integration with ABS and asset and liability management (ALM) systems, using a multi-period framework.
  • Determine loan-level cash flows for pricing and discounting.
  • Run a mixed portfolio of auto loans, including prime and subprime, used and new cars, and direct and indirect auto loans.
  • 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 program interface (API).

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