Understanding Value and Risk of Servicing using AD&Co’s MSRKinetics
Andrew Davidson & Co, Inc. (AD&Co) is pleased to announce the inaugural release of its newest solution: MSRKinetics.
While AD&Co’s flagship LoanDynamics borrower-behavior model (LDM) has been widely used in the servicing industry, MSRKinetics is a complete system designed to value mortgage servicing rights (MSR) and assist users in quantifying multiple risk components—including, but not limited to, interest rates. It simulates the results of hedging with TBAs or other mortgage-backed securities (MBS).
MSRKinetics integrates our LDM, Home Price, Interest Rate, and Unemployment models with an MSR cash flow engine and robust financial engineering algorithms, collectively known as RiskValDynamics. The analytics of MSRKinetics share many modeling methods with other assets that AD&Co analyzes (for example, the underlying loans), but differs with respect to its specific cash flow generator, components of market value, reporting and delivery options.
Webinar topics included:
Valuation and Value Decomposition
The use of risk-neutral versus physical LDM
Risk and Hedging including prepay-model risk
Tail Risk and Capital
Advanced and Traditional CCAR