Register for the Course
Mortgage Portfolio Analyzer (MPA) is a loan-level software platform for analyzing the credit risk of whole-loan residential mortgage portfolios and collateral pools underlying residential mortgage-backed security (RMBS) transactions. MPA incorporates thousands of macroeconomic paths and loan-level models for estimating probabilities of default and prepayment.
- 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 analysis, producing detailed modeling of loan characteristics and behaviors for different loan types, terms, and resets.
- Estimate probability of default, prepayment, severity, and losses using Federal Reserve stress scenarios and user-defined macroeconomic scenarios for stress testing.
- Build and deploy fully transparent custom models in the same platform.
- Generate monthly P&L cash flows for pricing and integration with RMBS and ALM systems, using a multi-period framework.
- Determine loan-level cash flows for pricing and discounting.
- Run a mixed portfolio of mortgages including subprime, prime, Alt-A, HELOCs, and second liens.
- 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.
- Work with a simple and intuitive user interface and a fully programmable application programming interface (API).
Calculate fast, accurate reserves for loan and lease losses with our cloud-based ALLL solution.
Our commercial lending solutions are flexible and robust enough to support whatever loan structures, pricing, or conditions you require to reduce risk.
Proactively monitoring the financial health of borrowers and the risk level of your loan portfolio increases the profitability of your lending business.
Moody’s Analytics delivers award-winning credit models and expert advisory services to provide you with best-in-class credit risk modeling solutions.
Moody’s Analytics provides tools for the most crucial aspects of the expected loss impairment model, with robust solutions to aggregate data, calculate expected credit losses, and derive and report provisions.
Moody's Analytics offers award-winning software, comprehensive datasets, and transparent models for structured finance needs.
Moody’s Analytics offers a modular, flexible, and comprehensive IFRS 9 impairment solution that facilitates banks’ efforts to calculate and manage capital set asides for these provisions.
Moody's Analytics Simplified Supervisory Formula Approach solution delivers advanced technology for calculating capital adequacy.
Moody’s Analytics helps financial institutions develop collaborative, auditable, repeatable, and transparent stress testing programs to meet regulatory demands.
Moody's Analytics produces regulatory analytics and best-in-class advisory services that create confidence and allow our clients to manage their structured finance risk.
Moody's Analytics structured credit models enable you to assess the credit quality of your portfolio and to understand the economic trends driving performance.