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Want to learn the value of RiskProfiler?

RiskProfiler is our most comprehensive solution for valuing mortgage-backed securities (MBS), asset-backed securities (ABS), their derivatives and instruments used in hedging these assets. It brings all of our models together in one place, including LoanDynamics and MacroDynamics, and integrates them with the OAS Subroutine, our advanced valuation system, to allow asset valuation, scenario analysis, and derivative pricing, and generate dynamic credit ratings.

Much like traditional MBS valuation systems, RiskProfiler converts market prices into option-adjusted spreads (OAS) or other measures (like yield) and produces dozens of metrics such as effective duration and convexity, key rates, Vega, and sensitivity to prepayment adjustments. Unique to other systems, RiskProfiler can value instruments by forecasting default rates and losses and measure exposures to both short-term and long-term home price appreciation (HPA).

Given its flexibility, RiskProfiler also can be used to comply with regulatory standards. This includes Comprehensive Capital Analysis and Review (CCAR), or AD&Co’s proprietary and more advanced CCAR model, that further challenges capital adequacy requirements.

RiskProfiler also offers built-in utilities and tools to load market rates, swaption matrixes and supplemental data supporting structured securities. It allows users to tune the models to address their needs, set tasks that suit a particular business regimen, and utilize a provided database to safely store positions, analytic assumptions and results.

Product users are provided with user guides and a variety of publications that report on model updates, technology developments and related market issues.

Features and Capabilities
Unique Credit Analytics and Approaches to Valuation

Covering a wide range of assets, structured or otherwise, RiskProfiler is supported by our behavioral models to provide unique credit analytics including:

  • Credit analyses at the loan-level

  • Credit quality of underlying collateral

  • Automated "breakpoint" methodology that measures a bond's distance to its first loss, demonstrating credit risk with possible outcomes and probabilities

  • Aggregation of portfolio losses and distribution of losses

  • Valuation using the wide range of industry accepted metrics

Valuation & Stress Testing

RiskProfiler implements AD&Co's rigorous understanding of how MBS are priced in the marketplace through various measures and scenarios.

  • Monte Carlo & Scenario Grid based valuation capabilities

  • OAS, crOAS & prOAS measures

  • CCAR, custom stress scenarios, or 20-Scenario "Vasicek" Grid for stress testing

Connect to Third-Party Data

For structured instruments, RiskProfiler embeds popular third-party data and waterfall logic for Intex or Moody's licensees. Cashflow components on pass-throughs and loans can be generated using AD&Co's cashflow generator at no additional cost.

Use the Full Power of Your Hardware

RiskProfiler provides a cluster/cloud-computing option that increases productivity multi-fold. For example, clients have processed millions of loans and many thousands of MBS or analyzed entire markets (e.g. Credit Rate Transfer (CRT)) within a reasonable business-required time period.

Unlimited Storage

RiskProfiler includes a SQL Server database that streamlines the retrieval of your portfolios, individual positions, assumption sets, and results of prior analyses, and offers built-in reporting and comparisons.


RiskProfiler is available only from AD&Co. It can be directly installed on to user platforms or with multiple deployment options for cloud computing. Delivery options include:

  • Desktop application
  • RPConsole (easily schedule batch processing)

For questions on optimal system usage and integrations, please contact us.

Core Asset Coverage

Single Family and Multi-Family MBS

All fixed-rate pass-throughs and adjustable-rate pass-throughs.


User-supplied fixed-rate or adjustable-rate whole loans in a flat-file format
iCMO Intex securities, usually structured
cCMO Moody's securities, usually structured (formerly Chasen)

Bonds/Derivatives, Swaps

Non-MBS interest rate derivatives, bonds and swaps, swaptions, caps and floors with various embedded call and put options; users may “strip” the cashflow and compute the values of Interest Only (IOs) or Principal Only (POs) cashflow components.
A Full-Featured User Interface

Offers an intuitive, full-featured user interface detailing market data and valuation options, with the ability to tune or adjust the model to generate results.

RP Screen capture


RiskProfiler in Action
Running RiskProfiler

Consider an analysis of a non-agency CMO (right figure). MacroDynamics – which includes both our InterestRateDynamics and HomePriceDynamics models – will produce economic scenarios in accordance with random or specific analyses. The OAS Subroutine will obtain the collateral data, loan by loan from Intex or Moody’s deal files and, for each economic scenario, send it to the LoanDynamics model to produce single monthly mortality (SMM), mortgage default rate (MDR), severity, and delinquency rate forecasts. These vectors will be then passed back to Intex or Moody’s for the necessary aggregation and cash flow generation for the CMO tranche in question. The OAS Subroutine uses these cash flows to compute various analytical measures. Optionally, users may supplement or fully replace loan-level data.

When analyzing MBS and ARM loans or pass-throughs, AD&Co provides cash flow generators Intex/Moody’s will not be accessed). Using an MS SQL database means having a nearly unlimited storage for positions and historical results.


RiskProfiler Flowchart
Supporting Resources
CRT Monitor

The CRT Monitor is a monthly report analyzing traded tranches of Agency Credit Risk Transfer deals. We derive a credit risk rating, our CreditProfile Category (CPC), the underlying credit metrics, and Option-Adjusted Spreads (OAS) given market levels at the close of a month. The underlying analysis is performed using RiskProfiler, our end-user valuation solution, and LoanDynamics credit model.

US Mortgage High-Yield Index

The AD&Co US Mortgage High Yield Index (USMHY) tracks the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. USMHY is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from our models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets.