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Use the Full Power of Your Hardware
Running an MS SQL database means having nearly unlimited storage for positions and historical (daily) results. Everything you do with RiskProfiler™, from setting assumptions to computing risk measures, is stored in a database. Using these database records, you can add as many custom reports as you like. RiskProfiler™ doesn’t restrict you in the way you want to aggregate, group and display results.
RiskProfiler™ (version 2.1 and above) is a multi-threaded, multi-processing application. This means that one can install it on a dedicated powerful server (with several processors) and take advantage of them all. CMOs (the most time consuming instruments) will be sent to various processors and computed simultaneously rather than sequentially.
Unique Credit Valuation Analytics
RiskProfiler™ loses nothing to other traditional OAS systems in its functionality, analytical depth or computational power. However, it is unique in that it includes truly unprecedented credit valuation analytics. Check out some of the highlights:
• HPA is viewed as a random factor and modeled as a stochastic process. This feature is integral to our understanding the ways both default option and ABS capital structures should be objectively valued.
• The home price process is alterable by transparent tunings affecting the short-term forecast or the long-term equilibrium. These tunings can be used to achieve HPA risk-neutrality as well as to gauge ABS’ exposure to home prices. Users don’t have to agree with AD&Co on the HPA model – they can alter it.
• If you appreciate AD&Co’s prepayment and credit models, RiskProfiler™ is their natural and direct extension. No vendor can integrate AD&Co’s credit valuation analytics the way we have.
