As a new MBS operation, this institutional broker-dealer needed trade capture and analytics functionality, particularly for risk management purposes. The broker-dealer also required an application to track MBS pass-through positions in real-time, given the active trading style of its pass-through desk (an average of 3 trades per minute).

The Solution

The client adopted the Edge Platform and RiskSpan provided custom development services that included:

The pass-though desk actively used the pass-through matrix for several years. When the client developed its own internal solution, it continued using the Edge Platform to run daily risk scenarios on the firm’s positions.

Total development time for all these projects was about 6 weeks.

A national property and casualty insurance carrier was struggling with an antiquated claims platform. Built on the IBM AS400 Mainframe system, the existing platform was unable to scale up to the growing needs of the organization and was based on legacy code plagued with significant “technical debt.”

The Solution

RiskSpan partnered with the client to identify and vet out a cloud-based SaaS solution provider to function as the system of record for all claims processed within the organization. This partnership ran from the discovery phase all the way through the production roll-out and post roll-out business-as-usual phase.  

RiskSpan also assisted with the data migration ETL project necessary to transfer existing open and recent claims to the new platform. All existing interfaces with internal systems and third parties were reconfigured to be functional with the new claims platform. 

SPEAK TO AN EXPERT

Client Benefit

Cloud adoption enabled the client to improve its technology capability score from AM Best Ratings, a key metric for evaluating the health of insurance carriers. 

Project deliverables included: 

A national property and casualty insurance carrier needed to modernize its customer self–service portal. The complexity of the existing portal made it difficult for customers to find what they were looking for, resulting in declining customer engagement. The existing system was also inflexible and failed to align with the company’s new products and brand identity. 

The Solution

RiskSpan led the development of a state-of-the-art, web-based application enabling customers to resolve a full range of self-service needs without resorting to a customer service call. The solution was developed using the Design Thinking approach, putting users first and offering a simplified and seamless experience when servicing policies.  

Client Benefits

The technical architecture laid the foundation for all future web-based applications to be developed within the organization. 

The new portal was sufficiently flexible to support rapid deployment of new features relating to the changing product landscape owing to increases in recent catastrophic events. 

Other client deliverables included: 

One of the nation’s leading mortgage lenders had recently acquired several large MSR portfolios and required assistance reviewing, documenting and recommending enhancements to the underlying assumptions of the model used to price the MSR portfolios at acquisition.

Requiring review and documentation included collateral assumptions, cost and revenue assumptions, and prepayment (CDR/CRR/CPR) assumptions.

The Solution

RiskSpan comprehensively analyzed the cash flow impact of each major assumption (e.g., CDR/CRR/CPR, servicing advances, fees, cost) — the collateral assumptions in the model as well as documented forecast vs. actual outcomes.

RiskSpan worked in concert with the servicer’s finance and pricing teams to collect and analyze roll rates and to forecast actual loan-level data around losses, servicing advances, servicing fees, ancillary fees, PIF, and scheduled principal payments.  

Deliverables 

A comprehensive pricing model validation report that included the following:

A leading hedge fund administrator sought a better way to provide compliance reporting and overnight risk and portfolio reporting for its clients.

Reporting at this scale requires extraordinarily flexibility in computational bandwidth.

The Solution

RiskSpan delivered computation and distribution via the cloud of all required analytics and risk metrics to all relevant parties using the flexibility and attractive visualization of a seamless Tableau integration.

The Edge We Provided

A fully hosted, outsourced solution. The administrator’s highly dynamic reports are delivered by way of a secure, hosted environment to a large number of diverse, institutional clients.

An institutional-broker dealer needed a solution to analyze agency MBS prepayment data.

The Solution

The Edge Platform has been adopted and is actively used by the Agency trading desk to analyze Agency MBS prepayment data, to discover relationships between borrower characteristics and prepayment behavior.  

A commercial bank required an independent validation of its CECL models. The models are embedded into three platforms (Trepp, Impairment Studio and Evolv) and included the following:

The Solution

Because the CECL models are embedded into three platforms, RiskSpan conducted an independent, comprehensive validation of all three platforms.

Our validation included components typical of a full-scope model validation, focusing on a conceptual soundness review, process verification and outcomes analysis.

Deliverables 

RiskSpan was given access to the models’ platforms, and workpapers, along with the models’ development documentation, and weekly Q&A sessions with the model owners.

Our review evaluated:

i. the business requirements and purpose of the model, and the metrics that used by the developer to select the best model and evaluate its success in meeting these requirements will be judged.

ii. the identification and justification for

  (a) any theoretical basis for the model structure;

  (b) the use of specific developmental data;

  (c) the use of any statistical or econometric technique to estimate the model; and

  (d) the criteria used to identify and select the best model among alternatives.

iii. the reasonableness of model-development decisions, documented assumptions, data adjustments, and model-performance criteria as measured at the time of development.

iv. Process verification to determine the accuracy of data transcription, adjustment, transformation and model code.

RiskSpan produced a written validation report detailing its validation assessments, tests, and findings, and providing a summary assessment of the suitability of the models for their intended uses as an input to the bank’s CECL process, based upon the Conceptual Soundness Review and Process Verification.

A large regional bank required a qualified, independent third party to perform risk-based procedures designed to provide reasonable assurance that its FCRM anti-money laundering system’s transaction monitoring, customer risk rating, and watch list filtering applications were functioning as designed and intended.

The Solution

RiskSpan reviewed existing materials, past audits and results, testing protocols and all documentation related to the bank’s model risk management standards, model setup and execution. We inventoried all model data sources, scoring processes and outputs related to the AML system.

The solution consisted of testing each of the five model segments: Design and Development; Input Processing; Implementation; Output and Use; and Performance.

The solution also quantified risk and exposure of identified gaps and limitations and presented sound industry practices and resolutions. 

Deliverables

An inflexible, locally installed risk management system with dated technology required a large IT staff to support it and was incurring high internal maintenance costs.

Absent a single solution, the use of multiple vendors for pricing and risk analytics, prepay/credit models and data storage created inefficiencies in workflow and an administrative burden to maintain.

Inconsistent data and QC across the various sources was also creating a number of data integrity issues.

The Solution

An end-to-end data and risk management solution. The REIT implemented RiskSpan’s Edge Platform, which provides value, cost and operational efficiencies.

Deliverables 

Consolidating from five vendors down to a single platform enabled the REIT to streamline workflows and automate processes, resulting in a 32% annual cost savings and 46% fewer resources required for maintenance.

A $100+ billion government-sponsored enterprise with more than $3 trillion in assets sought to develop an end-to-end earnings forecast framework to project and stress-test the future performance of its loan portfolio. The comprehensive framework needed to draw data from a combination of unintegrated systems to compute earnings, capital management requirements and other ad hoc reporting under a variety of internal and regulatory (i.e., DFAST) stress scenarios. 

Computing the required metrics required cross-functional team coordination, proper data governance, and a reliable audit trail, all of which were posing a challenge.  

The Solution

RiskSpan addressed these needs via three interdependent workstreams: 

Data Preparation

RiskSpan consolidated multiple data sources required by the earnings forecast framework. These included: 

Model Simulation

Because the portfolio in question consisted principally of mortgage assets, RiskSpan incorporated more than 20 models into the framework, including (among others): 

Business Calculations and Reporting

Using the data and models above, RiskSpan incorporated the following outputs into the earnings forecast framework: 

Client Benefits

The earnings forecast framework RiskSpan developed represented a significant improvement over the client’s previous system of disconnected data, unintegrated models, and error-prone workarounds. Benefits of the new system included: