COMPLETE SOLUTION FOR VALUING SECURITIES
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 RiskValDynamics, 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
RiskProfiler in Action