Portfolio Strategy

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CreditProfile Risk Measures

We provide MBS investors with an alternative solution to ratings for monitoring and quantifying the risk exposures in mortgage portfolios. Instead of providing subjective letter grade ratings, our CreditProfile analytics compute four risk measures — breakpoint ratio, effective thickness, average loss and expected shortfall — for each mortgage security in a portfolio, and we provide an overall composite risk score called the CreditProfile category.


Hedging Strategies

Institutions often utilize a number of different hedge instruments, incur costs to use them, and apply them to a variety of dynamic risk profiles they wish to limit and manage. Taking these issues into consideration, we work with clients to determine the optimal hedging approach. This may include quantitative optimization-based strategies, minimizing the cost of hedging subject to risk profile constraints, or taking on more dynamic heuristic approaches.