Mortgage Portfolio Analyzer
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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.
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 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.
- Produce lifetime expected loss under CECL.
- Back-test and calibrate models easily using client data.
- Generate loan level detail for future originations.
Implement a single framework for capital allocation, stress testing, and portfolio sensitivity analysis
- 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).
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