A new securitized instruments model, based on INTEX cashflows, has been integrated into RiskManager. This new capability provides improved coverage and modeling of structured securities, as well as updated analytics for this asset class.

The INTEX-based model covers the following asset classes:

  • RMBS
  • ABS
  • CMBS
  • CDO

This update also incorporates improved linkages with the Andrew Davidson & Company LoanDynamics collateral credit model, for analysis of Alt-A and subprime RMBS. This model forecasts prepayment, default, severity, and delinquency of the collateral loans, taking into account characteristics such as Home Price Indices (HPI), FICO scores, and Loan-to-Value (LTV) effects that impact performance of individual home loans.

Effect of FICO scores on Delinquency

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Source: Andrew Davidson & Co


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