Recorded: April 21 | 1:00 p.m. ET

Manually tuning MBS prepayment models is messy. In what amounts to an elaborate trial-and-error exercise, modelers must frequently resort to subjectively selecting sub-populations to calibrate, running back-testing to see where and how the model is off, and then tweaking knobs and re-running the back-test to see the impacts. Rinse and repeat.

RiskSpan’s Janet Jozwik and Steven Sun present an approach for running a set of back-tests on MBS pools that automatically solves for the right set of tuners to align model results to actuals. Learn how, by automatically covering every feasible combination of model knobs possible, you can visualize for every pool the impact each knob combination has on:

  • Modeled prepay vs. actuals
  • Model error
  • Refi incentive and other pool features

Janet Jozwik

Managing Director, RiskSpan

Steven Sun

Director, RiskSpan