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Articles Tagged with: Prepayment Analytics

What The FHFA’s Forbearance Announcement Means for Agency Prepayments

On Tuesday, the market received a modicum of clarity around Agency prepayments amid the uncertainty of COVID-19, when the FHFA released new guidelines for mortgage borrowers currently in forbearance or on repayment plans who wish to refinance or buy a new home.

Borrowers that use forbearance will most likely opt for a forbearance deferment, which delays the missed P&I until the loan matures. The FHFA announcement temporarily declares that borrowers are eligible to refinance three months after their forbearance ends and they have made three consecutive payments under their repayment plan, payment deferral option, or loan modification.”

With the share of mortgage loans in forbearance accelerating to over 8 percent, according to the MBA, and retail mortgage interest rates remaining at historically low levels, the FHFA’s announcement potentially expands the universe of mortgages in Agency securities eligible for refi. However, mortgage rates must be sufficiently low as to make economic sense to refinance both the unpaid principal balance of the loan and the deferred payments, which accrue at 0%. We estimate that a 6-month forbearance means that rates must be an additional 25bp lower to match the same payment savings as a borrower who doesn’t need to refinance the deferred payments.  In turn, this will slow refinancing on loans with a forbearance deferment versus loans without forbearance, when faced with the same refinancing incentive. This attenuated refi activity is on top of the three-payment delay after forbearance is over, which pushes the exercise of the call option out three months and lowers the probability of exercise. In total, loans in forbearance will both be slower and have better convexity than loans not in forbearance. 

Today’s FHFA release also extends Fannie’s and Freddie’s ability to purchase single-family mortgages currently in forbearance until at least August 31, 2020. 

Webinar: Machine Learning in Building a Prepayment Model


Machine Learning in Building a Prepayment Model

Join RiskSpan financial model experts Janet Jozwik, Fan Zhang, and Lei Zhao to discuss how machine learning can help simplify prepayment models. They will discuss

  • Data:  Preprocessing the data and determining which variables are important to include in prepayment models
  • Modeling Approach:  Evaluating machine learning approaches
  • Model Performance: Opening the black box and tuning the model to improve performance

About The Hosts

Janet Jozwik

Managing Director – RiskSpan

Janet Jozwik helps manage quantitative modeling and data analysis groups at RiskSpan. Janet has a background in mortgage credit modeling, loss forecasting, and data analysis. Since joining RiskSpan, Janet has focused on loss forecasting and mortgage portfolio analytics for a key client as well as building a credit model using GSE loan-level data. Prior to joining RiskSpan, Janet was a financial economist at Fannie Mae where she specialized in single family credit pricing. Her work directly impacted the national guarantee fee pricing scheme and government programs to support the housing market during and after the financial crisis. Janet has extensive experience in analyzing massive datasets, a deep understanding of the drivers of credit risk, and an expertise in modeling mortgage cash flows. Janet holds an MBA from the University Of Chicago Booth School Of Business and a BA in Economics from Johns Hopkins University. 

Fan Zhang

Director of Model Development

Fan Zhang has 12 years of quantitative finance experience specializing in behavioral modeling, fixed income analysis and, machine learning. At RiskSpan, Fan leads the quantitative modeling team where he is currently driving improvements to prepay modeling and application of cutting edge machine learning methods. Fan was a senior quantitative manager at Capital One where he worked on prepayment, deposit, MSR, auto, interest rate term structure, and economic capital modeling. He was also a senior financial engineer at Fannie Mae managing a team to validate model implementation and risk analytics. Fan holds an MBA from the University of Maryland and a BA in Economics from the University of Michigan.

Lei Zhao

Quantitative Modeling Analyst

Lei Zhao is a key member of the quantitative modeling team at RiskSpan. Lei has done extensive research on clustering methodologies and his postdoctoral research paper has been cited over a hundred times in scholarly publications. Lei holds a Master of Science degree in Financial Engineering from University of California, Los Angeles, and a PhD in Mechanical Engineering from Zhejiang University, China. 

Calculating Value at Risk — A Review of Methods

white paper

Calculating Value at Risk — A Review of Methods

Our white paper explains why a full revaluation method of calculating value at risk (VaR) is the preferred approach for both banks reporting VaR under Market Risk Rule and hedge funds using VaR to report a unified risk measure to clients.

Calculating VaR: A Review of Methods

Calculating VaR

A Review of Methods


Don Brown
Co-Head of Quantitative Analytics


  1. Introduction

  2. Generating Scenarios

  3. Calculating Simulated P/L

  4. Conclusion

  5. References

Have questions about calculating VaR?

Talk Scope

Chapter 1

Many firms now use Value-at-Risk (“VaR”) for risk reporting. Banks need VaR to report regulatory capital usage under the Market Risk Rule, as outlined in the Fed and OCC regulations and. Additionally, hedge funds now use VaR to report a unified risk measure across multiple asset classes. There are multiple approaches to VaR, so which method should we choose? In this brief paper, we outline a case for full revaluation VaR in contrast to a simulated VaR using a “delta-gamma” approach to value assets.

The VaR for a position or book of business can be defined as some threshold  (in dollars) where the existing position, when faced with market conditions similar to some given historical period, will have P/L greater than  with probability. Typically,  is chosen to be  or.

To compute this threshold , we need to

  1. Set a significance percentile , a market observation period, and holding period n.1
  2. Generate a set of future market conditions (“scenarios”) from today to period n.
  3. Compute a P/L on the position for each scenario

After computing each position’s P/L, we sum the P/L for each scenario and then rank the scenarios’ P/L to find the kth percentile (worst) loss.2 This loss defines our VaR T at the kth percentile for observation-period length n.

Determining what significance percentile k and observation length n to use is straightforward and is often dictated by regulatory rules, for example 99th percentile 10-day VaR is used for risk-based capital under the Market Risk Rule. Generating the scenarios and computing P/L under these scenarios is open to interpretation. We cover each of these in the next two sections, with their advantages and drawbacks.

Chapter 2
Generating Scenarios

To compute VaR, we first need to generate projective scenarios of market conditions. Broadly speaking, there are two ways to derive this set of scenarios3

  1. Project future market conditions using a Monte Carlo simulation framework
  2. Project future market conditions using historical (actual) changes in market conditions


Many commercial providers simulate future market conditions using Monte Carlo simulation. To do this, they must first estimate the distributions of risk factors, including correlations between risk factors. Using correlations that are derived from historical data makes the general assumption that correlations are constant within the period. As shown in the academic literature, correlations tend to change, especially in extreme market moves – exactly the kind of moves that tend to define the VaR threshold.4 By constraining correlations, VaR may be either overstated or understated depending on the structure of the position. To account for this, some providers allow users to “stress” correlations by increasing or decreasing them. Such a stress scenario is either arbitrary, or is informed by using correlations from yet another time-period (for example, using correlations from a time of market stress), mixing and matching market data in an ad hoc way.

Further, many market risk factors are highly correlated, which is especially true on the interest rate curve. To account for this, some providers use a single factor for rate-level and then a second or third factor for slope and curvature of the curve. While this may be broadly representative, this approach may not capture subtle changes on other parts of the curve. This limited approach is acceptable for non-callable fixed income securities, but proves problematic when applying curve changes to complex securities such as MBS, where the security value is a function of forward mortgage rates, which in turn is a multivariate function of points on the curve and often implied volatility.


RiskSpan projects future market conditions by using actual (observed) -day changes in market conditions over the look-back period. For example, if we are computing 10-day VaR for regulatory capital usage under the Market Risk Rule, RiskSpan takes actual 10-day changes in market variables. This approach allows our VaR scenarios to account for natural changes in correlation under extreme market moves, such as occurs during a flight-to-quality where risky assets tend to underperform risk-free assets, and risky assets tend to move in a highly correlated manner. RiskSpan believes this is a more natural way to capture changing correlations, without the arbitrary overlay of how to change correlations in extreme market moves. This, in turn, will more correctly capture VaR.5

Chapter 3
Calculating Simulated P/L

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With the VaR scenarios defined, we move on to computing P/L under these scenarios. Generally, there are two methods employed

  1. A Taylor approximation of P/L for each instrument, sometimes called “delta-gamma”
  2. A full revaluation of each instrument using its market-accepted technique for valuation

Market practitioners sometimes blend these two techniques, employing full revaluation where the valuation technique is simple (e.g. yield + spread) and using delta-gamma where revaluation is more complicated (e.g. OAS simulation on MBS).



Many market practitioners use a Taylor approximation or “delta-gamma” approach to valuing an instrument under each VaR scenario. For instruments whose price function is approximately linear across each of the m risk factors, users tend to use the first order Taylor approximation, where the instrument price under the kth VaR scenario is given by

Making the price change in the kth scenario

Where ΔP is the simulated price change, Δxi is the change in the ith risk factor, and  is the price delta with respect to the ith risk factor evaluated at the base case. In many cases, these partial derivatives are approximated by bumping the risk factors up/down.6 If the instrument is slightly non-linear, but not non-linear enough to use a higher order approximation, then approximating a first derivative can be a source of error in generating simulated prices.

For instruments that are approximately linear, using first order approximation is typically as good as full revaluation. From a computation standpoint, it is marginally faster but not significantly so. Instruments whose price function is approximately linear also tend to have analytic solutions to their initial price functions, for example yield-to-price, and these analytic solutions tend to be as fast as a first-order Taylor approximation.

If the instrument is non-linear, practitioners must use a higher order approximation which introduces second-order partial derivatives. For an instrument with m risk-factors, we can approximate the price change in the kth scenario by using the multivariate second order Taylor approximation

To simplify the application of the second-order Taylor approximation, practitioners tend to ignore many of the cross-partial terms. For example, in valuing MBS under delta-gamma, practitioners tend to simplify the approximation by using the first derivatives and a single “convexity” term, which is the second derivative of price with respect to overall rates.

Using this short-cut raises a number of issues:

  1. It assumes that the cross-partials have little impact. For many structured products, this is not true.7
  2. Since structured products calculate deltas using finite shifts, how exactly does one calculate a second-order mixed partials?8
  3. For structured products, using a single, second-order “convexity” term assumes that the second order term with respect to rates is uniform across the curve and does not vary by where you are on the curve. For complex mortgage products such as mortgage servicing rights, IOs and Inverse IOs, convexity can vary greatly depending on where you look at the curve.

Using a second-order approximation assumes that the second order derivatives are constant as rates change. For MBS, this is not true in general.

For example, in the graphs below we show a constant-OAS price curve for TBA FNMA 30yr 3.5%, as well as a graph of its “DV01”, or first derivative with respect to rates. As you can see, the DV01 graph is non-linear, implying that the convexity term (second derivative of the price function) is non-constant, rendering a second-order Taylor approximation a weak assumption. This is especially true for large moves in rate, the kind of moves that dominate the computation of the VaR.9

In addition to the assumptions above, we occasionally observe that commercial VaR providers compute 1-day VaR and, in the interest of computational savings, scale this 1-day VaR by √10 to generate 10-day VaR. This approximation only works if

  1. Changes in risk factors are all independently, identically distributed (no autocorrelation or heteroscedasticity)
  2. The asset price function is linear in all risk factors

In general, neither of these conditions hold and using a scaling factor of √10 will likely yield an incorrect value for 10-day VaR.10



With the weaknesses in the Taylor approximation cited above, why do some providers still use delta-gamma VaR? Most practitioners will cite that the Taylor approximation is much faster than full revaluation for complex, non-linear instruments. While this seems true at first glance, you still need to:

  1. Compute or approximate all the first partial derivatives
  2. Compute or approximate some of the second partial derivatives and decide which are relevant or irrelevant. This choice may vary from security type to security type.

Neither of these tasks are computationally simple for complex, path-dependent securities which are found in many portfolios. Further, the choice of which second-order terms to ignore has to be supported by documentation to satisfy regulators under the Market Risk Rule.

Even after approximating partials and making multiple, qualitative assessments of which second-order terms to include/exclude, we are still left with error from the Taylor approximation. This error grows with the size of the market move, which also tends to be the scenarios that dominate the VaR calculation. With today’s flexible cloud computation and ultra-fast, cheap processing, the Taylor approximation and its computation of partials ends up being only marginally faster than a full revaluation for complex instruments.11

With the weaknesses in Taylor approximation, especially with non-linear instruments, and the speed and cheapness of full revaluation, we believe that fully revaluing each instrument in each scenario is both more accurate and more straightforward than having to defend a raft of assumptions around the Taylor approximation.

Chapter 4

Talk Scope

With these points in mind, what is the best method for computing VaR? Considering the complexity of many instruments, and considering the comparatively cheap and fast computation available through today’s cloud computing, we believe that calculating VaR using a historical-scenario, full revaluation approach provides the most accurate and robust VaR framework.

From a scenario generation standpoint, using historical scenarios allows risk factors to evolve in a natural way. This in turn captures actual changes in risk factor correlations, changes which can be especially acute in large market moves. In contrast, a Monte Carlo simulation of scenarios typically allows users to “stress” correlations, but these stresses scenarios are arbitrary which may ultimately lead to misstated risk.

From a valuation framework, we feel that full revaluation of assets provides the most accurate representation of risk, especially for complex instruments such as complex ABS and MBS securities. The assumptions and errors introduced in the Taylor approximation may overwhelm any minor savings in run-time, given today’s powerful and cheap cloud analytics. Further, the Taylor approximation forces users to make and defend qualitative judgements of which partial derivatives to include and which to ignore. This greatly increasing the management burden around VaR as well as regulatory scrutiny around justifying these assumptions.

In short, we believe that a historical scenario, full-revaluation VaR provides the most accurate representation of VaR, and that today’s cheap and powerful computing make this approach feasible for most books and trading positions. For VaR, it’s no longer necessary to settle for second-best.


  1. Board of Governors, Federal Reserve System, “Application of the Market Risk Module in Bank Holding Companies and State Member Banks (SR 09-1),” Federal Reserve System, 2009.

  2. Federal Register, “Code of Federal Regulations, Title 12, Vol.1, Part 3, Subpart F,” 2014.

  3. D. Heath, R. Jarrow and A. Morton, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, vol. 60, no.1, pp. 77-105, 1992.

  4. RiskSpan, Inc., “Prepayment Model Validation Report,” 2016.

  5. P. Hartmann, S. Straetmans and C. De Vries, “Asset Market Linkages in Crisis Periods,” The Review of Economics and Statistics, vol. 86, no. 1, pp. 313-236, 2004.

  6. RiskSpan Inc., “RS Residential Credit Model,” 2016.

  7. F. Diebold, A. Hickman, A. Inoue and T. Schuermann, “Scale Models,” Risk, pp. 104-107, 1998.


1 The holding period n is typically one day, ten days, or 21 days (a business-month) although in theory it can be any length period.
2 We can also partition the book into different sub-books or “equivalence classes” and compute VaR on each class in the partition. The entire book is the trivial partition.
3 There is a third approach to VaR: parametric VaR, where the distributions of asset prices are described by the well-known distributions such as Gaussian. Given the often-observed heavy-tail distributions, combined with difficulties in valuing complex assets with non-linear payoffs, we will ignore parametric VaR in this review.
4 The academic literature contains many papers on increased correlation during extreme market moves, for example [5]

5 For example, a bank may have positions in two FX pairs that are poorly correlated in times normal times and highly negatively correlated in times of stress. If a 99%ile worst-move coincides with a stress period, then the aggregate P/L from the two positions may offset each other. If we used the overall correlation to drive a Monte Carlo simulated VaR, the calculated VaR could be much higher.

6 This is especially common in MBS, where the first and second derivatives are computed using a secant-line approximation after shifting risk factors, such as shifting rates ± 25bp

7 For example, as rates fall and a mortgage becomes more refinancible, the mortgage’s exposure to implied volatility also increases, implying that the cross-partial for price with respect to rates and vol is non-zero.

8 Further, since we are using finite shifts, the typical assumption that ƒxy = ƒyx which is based on the smoothness of ƒ(x,y) does not necessarily hold. Therefore, we need to compute two sets of cross partials, further increasing the initial setup time.

9 Why is the second derivative non-constant? As rates move significantly, prepayments stop rising or falling. At these “endpoints,” cash flows on the mortgage change little, making the instrument positively convex like a fixed-amortization schedule bond. In between, changes in prepayments case the mortgage to extend or shorten as rates rise or fall, respectively, which in turn make the MBS negatively convex.

10 Much has been written on the weakness of this scaling, see for example [7]

11 For example, using a flexible computation grid RiskSpan can perform a full OAS revaluation on 20,000 MBS passthroughs using a 250-day lookback period in under one hour. Lattice-solved options are an order of magnitude faster, and analytic instruments such as forwards, European options, futures and FX are even faster.

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RS Edge for Loans & Structured Products: A Data Driven Approach to Pre-Trade and Pricing  

The non-agency residential-mortgage-backed-securities (RMBS) market has high expectations for increased volume in 2020. Driven largely by expected changes to the qualified mortgage (QM) patch, private-label securities (PLS) issuers and investors are preparing for a 2020 surge. The tight underwriting standards of the post-crisis era are loosening and will continue to loosen if debt-to-income restrictions are lifted with changes to the QM patch 

PLS programs can differ greatly. It’s increasingly important to understand the risks inherent in each underlying poolAt the same time, investment opportunities with substantial yield are becoming harder to find without developing a deep understanding of the riskier components of the capital structureA structured approach to pre-trade and portfolio analytics can help mitigate some of these challenges. Using a data-driven approach, portfolio managers can gain confidence in the positions they take and make data influenced pricing decisions 

Industry best practice for pre-trade analysis is to employ a holistic approach to RMBS. To do this, portfolio managers must combine analysis of loan collateral, historical data for similar cohorts of loans (within previous deals), and scenariofor projected performance. The foundation of this approach is:  

  • Historical data can ground assumptions about projected performance 
  • A consistent approach from deal to deal will illuminate shifting risks from shifting collateral 
  • Scenario analysis will inform risk assessment and investment decision  

Analytical Framework 

RiskSpan’s modeling and analytics expert, Janet Jozwik, suggests a framework for analyzing a new RMBS deal with analysis of 3 main components:  deal collateral, historical performance, and scenario forecasting. Combined, these three components give portfolio managers a present, past, and future view into the deal.  

Present: Deal Collateral Analysis 

Deal collateral analysis consists of: 1) a deep dive into the characteristics of the collateral underlying the deal itself, and 2) a comparison of the collateral characteristics of the deal being analyzed to similar deals. A comparison to recently issued deals can highlight shifts in underlying collateral risk within a particular shelf or across issuers.  

Below, RiskSpan’s RS Edge provides the portfolio manager with a dashboard highlighting key collateral characteristics that may influence deal performance. 

Example 1Deal Profile Stratification 


Example 2Deal Comparative Analysis 

Past: Historical Performance Analysis 

Historical analysis informs users of a deal’s potential performance under different scenarios by looking at how similar loan cohorts from prior deals have performedJozwik recommends analyzing historical trends both from the recent past and frohistorical stress vintages to give a sense for what the expected performance of the deal will be, and what the worst-case performance would be under stress scenarios. 

Recent Trend Analysis:  Portfolio managers can understand expected performance by looking at how similar deals have been performing over the prior 2 to 3 years. There are a significant number of recently issued PLS that can be tracked to understand recent prepayment and default trends in the market. While the performance of these recent deals doesn’t definitively determine expectations for a new deal (as things can change, such as rate environment), it provides one data point to help ground data-driven analyses. This approach allows users to capitalize on the knowledge gained from prior market trends.  

Historical Vintage Proxy Analysis:  Portfolio managers can understand stressed performance of the deal by looking at performance of similar loans from vintages that experienced the stress environment of the housing crisisThough potentially cumbersome to execute, this approach leverages the rich set of historical performance data available in the mortgage space 

For a new RMBS Dealportfolio managers can review the distribution of key features, such as FICO, LTV, and documentation typeThey can calculate performance metrics, such as cumulative loss and default rates, from a wide set of historical performance data on RMBS, cut by vintage. When pulling these historical numbers, portfolio managers can adjust the population of loans to better align with the distribution of key loan features in the deal they are analyzing. So, they can get a view into how a similar loans pool originated in historical vintages, like 2007, performed. There are certainly underwriting changes that have occurred in the post-crisis era that would likely make this analysis ultraconservative. These ‘proxy cohorts’ from historical vintages can provide an alternative insight into what could happen in a worst-case scenario.  

Future: Forecasting Scenario Analysis 

Forecasting analysis should come in two flavors. First, very straightforward scenarios that are explicitly transparent about assumptions for CPR, CDR, and severity. These assumptions-based scenarios can be informed with outputs from the Historical Performance Analysis above.  

Second, forecasting analysis can leverage statistical models that consider both loan features and macroeconomic inputs. Scenarios can be built around macroeconomic inputs to the model to better understand how collateral and bond performance will change with changing economic conditions.  Macroeconomic inputs, such as mortgage rates and home prices, can be specified to create particular scenario runs. 

How RiskSpan Can Help 

Pulling the required data and models together is typically a burdenRiskSpan’s RS Edge has solved these issues and now offers one integrated solution for:  

  • Historical Data: Loan-level performance and collateral data on historical and pre-issue RMBS deals 
  • Predictive Models: Credit and Prepayment models for non-agency collateral types 
  • Deal Cashflow Engine: Intex is the leading source for an RMBS deal cashflow library 

There is a rich source of data, models, and analytics that can support decision making in the RMBS market. The challenge for a portfolio manager is piecing these often-disparate pieces of information together to a cohesive analysis that can provide a consistent view from deal to dealFurther, there is a massive amount of historical data in the mortgage space, containing a vast wealth of insight to help inform investment decisions. However, these datasets are notoriously unwieldy. Users of RS Edge cut through the complications of large, disparate datasets for clear, informative analysis, without the need for custom-built technology or analysts with advanced coding skills.

FHFA 3Q2019 Prepayment Monitoring Report

FHFA’s 2014 Strategic Plan for the Conservatorships of Fannie Mae and Freddie Mac includes the goal of improving the overall liquidity of Fannie Mae’s and Freddie Mac’s (the Enterprises) securities through the development of a common mortgage-backed security. This report provides insight into how FHFA monitors the consistency of prepayment rates across cohorts of the Enterprises’ TBA-eligible MBS.

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Introducing: RS Edge for Loans and Structured Products

RiskSpan Introduces RS Edge for Loans and Structured Products  

RiskSpan, the leading mortgage data and analytics provider, is excited to announce the release of RS Edge for Loans and Structured Products. 

RS Edge is the next generation of RiskSpan’s data, modeling, and analytics platform that manages portfolio risk and delivers powerful analysis for loans and structured products.  Users can derive insights from historical trends and powerful predictive forecasts under a range of economic scenarios on our cloud-native solution. RS Edge streamlines analysis by bringing together key industry data and integrations with leading 3rd party vendors. 

An on-demand team of data scientists, quants, and technologists with fixed-income portfolio expertise support the integration, calibration, and operation across all RS Edge modules 

RMBS Analytics in Action 

RiskSpan has developed a holistic approach to RMBS analysis that combines loan collateral, historical, and scenario analysis with deal comparison tools to more accurately predict future performance. Asset managers can define an acceptable level of risk and ground pricing decisions with data-driven analysis. This approach illuminates risk from shifting collateral and provides investors with confidence in their positions. 

Loan Analytics in Action 

Whole loan asset managers and investors use RiskSpan’s Loan Analytics to enhance and automate partnerships with Non-Qualified Mortgage originators and servicers. The product enhances the on-boarding, pricing analytics, forecasting, and storage of loan data for historical trend analytics. RS Edge forecasting analytics support ratesheet validation and loan pricing 

About RiskSpan 

RiskSpan provides innovative technology and services to the financial services industry. Our mission is to eliminate inefficiencies in loans and structured finance markets to improve investors’ bottom line through incremental cost savings, improved return on investment, and mitigated risk.  

RiskSpan is holding a webinar on November 6 to show how RS Edge pulls together past, present, and future for insights into new RMBS deals. Click below to register.

FHFA 2Q2019 Prepayment Monitoring Report

FHFA’s 2014 Strategic Plan for the Conservatorships of Fannie Mae and Freddie Mac includes the goal of improving the overall liquidity of Fannie Mae’s and Freddie Mac’s (the Enterprises) securities through the development of a common mortgage-backed security. This report provides insight into how FHFA monitors the consistency of prepayment rates across cohorts of the Enterprises’ TBA-eligible MBS.

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RiskSpan Adds Whole Loan Analytics to Edge Platform

RiskSpan Adds Whole Loan Analytics to Edge Platform 

ARLINGTON, VA, May 20, 2019Leading mortgage data and analytics provider RiskSpan announced the release of its Whole Loan Analytics Module on the RiskSpan Edge Platform. The module enables whole loan investorsportfolio managers, and risk managers to manage loan-level data flows and predictive models that forecast loan performance under a range of scenarios. 

The off-the-shelf SaaS version supports whole loan pricing and surveillance. It enables complex forecasting analytics including geographically granular House Price scenarios and historically significant economic event scenarios. Other features and custom configurations are also available for advanced risk management use cases.  

RiskSpan’s Whole Loan Analytics Module is supported by a team of data scientists, quants, and technologists who maintain the company’s proprietary prepayment and credit models. The SaaS delivery model includes continuous feature updates. 

Machine Learning for Better Whole Loan Data Management 

The Edge Platform uses machine learning to normalize and standardize data from disparate data file input formats. With this technology, users may easily benchmark portfolio performance against a combination of datasets. Better data inputs also dramatically improve the accuracy of downstream analytics.   

Whole Loan Analytics in Production 

Recently, a large asset manager sought to enter the whole loan market by partnering with Non-Qualified Mortgage originators and servicers This asset manager subscribed to RiskSpan’s Edge Platform and used the Whole Loan Analytics Module to perform end-to-end tracking, analysis, forecasting, and storage of all loan dataRS Edge forecasting analytics support rate sheet validation, loan pricing and pipeline analysis. The client uses the platform to automatically load and validate new data. 

About RiskSpan’s Edge Platform 

The Edge Platform is cloud-native, data, modeling, and analytics platform for loans, securities, and structured products. RiskSpan’s commercially available SaaS platform allows clients to integrate their data with leading third-party data providers. The Edge Platform solves the hardest data management and analytical problem – affordable, off-the-shelf integration of clean data and reliable predictive models.  

About RiskSpan  

RiskSpan is a leading provider of technology solutions and services to the residential mortgage, capital markets, banking, and insurance industries. RiskSpan’s mission is to innovate. We help clients deploy new technologies to eliminate the inefficiencies in the loan and structured finance markets anleverage the value of advanced analytics 


Join Us For Our June 19 Webinar: Best Practices in Whole Loan Data Management

RiskSpan Credit Risk Transfer Solution

RiskSpan Managing Director, Janet Jozwik, explains how the RS Edge Platform serves as an end-to-end Credit Risk Transfer (CRT) solution designed to help investors in each stage of CRT deal analysis. The RS Edge Platform hosts historical GSE data (STACR/CAS/CIRT/ACIS) and gives users the ability to conduct historical and surveillance analysis as well as predictive and scenario analysis. Additionally, RiskSpan gives users full access to our proprietary agency-specific prepayment and credit models and is integrated with Intex for deal cash flow analysis.




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