At AD&Co, in addition to our standard suite of models, we are also able to create custom prepayment and default models to reflect the performance of virtually any portfolio of holdings. We also evaluate client’s internal prepayment and default models to provide recommendations on how to improve forecasting performance. Our consultants, econometricians, and systems staff have a long history of modeling and implementing systems for our broad range of clients. We rigorously test and study loan performance data provided by our clients and use sophisticated econometric techniques to construct our custom models.
AD&Co models can be fully tuned using a variety of parameters including scalers, sliders, and flat rate adjustments that can be applied to various transition states as well as individual model vectors. These tuning parameters are fully exposed to our clients and in addition to our suggested tunings, our consultants can provide custom tuning recommendations based on a client’s portfolio and collateral type. Using client provided historical time series performance data, we work with clients collaboratively to tune our models, ensuring accurate results and focus. These tuning parameters are then provided in data files that can be ingested by our models, with a detailed written summary of the recommended tunings, and actual vs. forecasted results based on client provided portfolio data.