Boundless Thinking
Practical Solutions
Montana Analytics is a quantitative consulting firm comprised of highly seasoned Data Scientists focused on ERM. We provide high-quality solutions in Model Risk Management, Analytical Model Development and model examination using our industry-leading Model Validation Program. We also offer Benchmarking Solutions, Asset Valuation Analytics, and Loan and Security Analytics.
Our expertise in credit risk, market risk, interest rate risk and liquidity risk allow us to overcome your key challenges. Solutions offered are applicable to all financial instruments found on bank and credit union balance sheets used in key banking functions. We offer deep experience and great value for our services.
We have solutions for:
- CECL/ALLL
- ALM
- Deposit Studies
- MSR Valuation
- FTP
- Stress Testing
- DFAST/CCAR/PPNR
- Regulatory & Econ Capital
- Secondary Marketing
- M&A Valuations
Enterprise Risk Management
and
Model Risk Management
We offer Enterprise Risk Management Program Design and Implementation as well as Model Risk Management through our Model Validation Program.
We have developed enterprise-level model risk management programs to ensure financial soundness and to meet regulatory requirements. We achieve this through alignment of our rigorous validation methods with industry best practices. Best practices include deep knowledge of risk modeling analytics as well as statistical methods and standard techniques used across the industry.
In addition, best practices are guided by regulatory information from the OCC, FHFA, FDIC and the Federal Reserve from 2000 to 2017 including “Supervisory Guidance on Model Risk Management“.
Our Model Validation Program provides superior results through rigorous methods and transparent techniques.
Our Independent Model Validation experience covers both internally developed and external vendor models for quantitative finance and risk management. This spans all aspects of model theory and design, data inputs, controls, assumptions and mathematical computations as well as statistical methods. We establish and execute detailed test cases to cover all aspects of solid model risk management – including benchmarking results and backtesting predictions. The result is a comprehensive examination with documentation of all validation outcomes.
Enterprise Risk Management
- Program Design and Implementation
- Model Risk Management (MRM) program
- Corporate Model Policy development
- Methods for Risk Ranking internal models
- Coordination of corporate-wide Model Reviews
- Coordination with Business Units
Model Validation Program
- Turn-key proven examination process
- Comprehensive program meets OCC, FDIC and Federal Reserve guidance
- Benchmarking, Backtesting, Performance Monitoring
- Liaison with Regulators as needed
Analytical Model Development
and
Benchmarking
Solutions
We have deep experience designing and building predictive models for both retail (credit card, auto, mortgage, heloc) and wholesale portfolios (CRE, C&I, ADC).
Using our vast MBS/ABS data warehouse, we develop and test behavioral models to predict all facets of loan performance. We track almost 3,000 PL-MBS deals and millions of loans.
We combine loan performance risk analysis with advanced statistical modeling techniques such as multinomial logistic regression. Our focus includes a balance of loan decisioning, performance monitoring and management of portfolio-level assets. This leads to RMBS securities and loan analysis that includes interest rates, prepayment and mortgage credit risk.
Our work typically includes assets such as:
- Agency/Non-Agency RMBS
- Prime/Alt-A/Subprime
- Option-Arms/Negam
- Resi, Heloc, Card, Auto
- CRE, C&I, ADC
Focus on risk exposure problems such as:
- Loan underwriting decisioning
- Scorecards
- Loan loss exposure
- Repurchase risk exposure
- Loss mitigation
Development and Benchmarking focus:
- CECL/Stress Testing
- DFAST/PPNR
- ALLL/Reserving
- Portfolio analysis
- PD/EAD/LGD
- Basel/Economic capital
Asset Valuation Analytics
We offer valuation and price benchmarking for loans, securities, deposits, derivatives, and other financial instruments commonly held on financial institution balance sheets. Our work is based on a compilation of quantitative tools including interest rate models, behavioral models, loan-loss models, cash-flow analysis, discounting methods, deposit studies, and stochastic solutions. These tools are supplemented by our many years of deep industry experience.
Valuation and performance analytics are critical to many core activities in financial institutions and we offer solutions for the following key ones:
- ALM analytics, including fair value estimation
- M&A activities, including acquisition valuation methodologies such as fair market value
- Deposit studies
Loan Analytics
Loan analytics and borrower behavior modeling is a mainstay of credit risk analysis. We have developed origination decision tools, loan scorecards and many types of loan behavior models. These models can be shown to be objective, consistent and accurate as they provide practical solutions to risk assessment. Our loan modeling framework spans from single borrower underwriting models to complex, multi-path expected behavior models for prepayment, delinquency and default. Our models are used to quantify portfolio risk, estimate repurchase exposures and direct loss mitigation outcomes.
We offer pragmatic solutions based on deep experience.
- Origination Decision Models
- Custom models to determine origination risk and optimize lending decisions
- Custom models to provide “scoring” and relative risk-ranking
- Loan Behavior Models, prepayment risk, delinquency, default, loss
- Unique models to predict loan outcome transitions
- Repurchase Exposure Analysis
- Loss Mitigation Analysis
Security Analytics
We combine loan performance risk analysis with advanced statistical modeling techniques such as multinomial logistic regression to measure security exposures. This includes security and loan-level of interest rates, prepayment and mortgage credit risk. Our focus includes a balance of loan decisioning, performance monitoring and management of portfolio-level assets.
Using our vast data warehouse, we develop and test behavioral models to predict all facets of loan performance. We track almost 3,000 PL-MBS deals and millions of loans.
Our work typically includes assets such as: Agency RMBS, Non-Agency RMBS, Prime, Alt-A, Subprime, Option-Arms and Negam products. Development efforts are utilized for portfolio analysis, Basel, PD, EAD models and economic capital models.
- Cash flow and Valuation
- Loss Exposure Analysis
- Security Performance Review
- Security Predictive Forecast
Residential Housing Analytics
House price analysis and HPI indices are critical inputs to evaluation of residential mortgages. We were early adopters of mark-to-market collateral value through the use of HPI indices. This allows more accurate equity/negative-equity analysis which has a direct correlation to default probability. Our analytics include modeling for house prices, probability of house price declines in MSA and local areas and incorporation of forward prices into our Monte Carlo analysis of future expectations.
- Residential Housing Analytics
- Predictive Modeling of House Prices
- Probability of Home Price Declines in Local Areas
- Incorporation of HPI forecasts into performance analysis
