Our Practice: Mortgage Risk Analytics

Consulting efforts focus on several areas of specialization: Credit and Market Risk, Model Development and Independent Validation, Residential Housing Analytics and Technical Systems Development.

Most engagements are focused on developing or improving models that directly support executive decisions for Enterprise Risk Management.

Our practice areas include:

• Credit Risk Analytics solution
• Portfolio Risk Assessment and Valuation
• Loan Default, Loss Analysis and Loss Mitigation
• Decision modeling and Logistic Analysis
• Pricing for Bulk Purchase/Sale and credit enhancement
• Geographical Risk Assessment
• Securitization / Structured Finance Analysis

• Market Risk Analytics solution
• Portfolio Risk Assessment & Valuation
• Loan and Security Pricing and Valuation
• Option Adjusted Spread (OAS) Analysis
• Hedging analysis and management
• Sensitivity Analysis / Value-at-Risk

• Predictive Modeling solution
• Predictive model design, development, implementation and testing
• Competing Risks and other probabalistic designs
• Scorecards, PD, EAD, LGD, Basel II, ALLL
• Model Performance Monitoring for Model Stability
• OCC/OTS and external audit consideration

• Model Validation solution
• Independent Model Validation
• Model Validation program design, development and implementation
• OCC/OTS compliance and external audit preparation

• Residential Housing Analytics solution
• Predicting the Probability of Home Price Decline
• Predicting the expected Level of home prices
• Qualitative assessment of home demand and local market analysis
• Integrating valuation predictions into retained asset risk analysis

• Technical Systems Development
• Technical solutions in multiple languages - SAS, VB, C++, .Net, .ASP
• Data structures and systems development