De-stress your mortgage regulatory and valuation burden. Join our team in San Francisco to learn how AD&Co’s VECTORS™ suite of products—including RiskProfiler, LoanKinetics, and CreditProfile—can provide turnkey solutions for your pressing stress-testing, and whole loan/MSR valuation issues.

Registration:     10:00am to 10:30am
Sessions:          10:30am to 12:00pm
Lunch:                12:00pm to 1:00pm

Sessions include:

1) CCAR Stress Test:  Learn how to incorporate the Fed’s base, stressed and highly stressed interest-rate, home-price and unemployment scenarios into AD&Co’s LoanDynamics Model (LDM) through the RiskProfiler system to produce the CPR, CDR, delinquency and loss vectors required to simulate the performance of your mortgage holdings including agency and non-agency MBS and all types of whole loans.

 2) ALLL:  This session will focus on the LoanKinetics tool that provides loan-loss forecasts using the incurred loss methodology required under the current FASB proposal. Attribution analysis tracks the quarterly drivers of these forecasts. In addition, the session will discuss how market implied pricing can be used to benchmark loan value.

3) MSR Valuation:  The RiskProfiler valuation system considers critical MSR valuation components using a credit-based OAS approach. By simultaneously simulating interest rates and home prices at the MSA level, RiskProfiler provides a unique stochastic-based approach to MSR analysis. Unique features include MSR Value Decomposition and Theoretical Value-at-Risk metrics.

4) Dynamic Credit Assessment of MBS:  The CreditProfile system—available as an online tool in a single security or portfolio model—decomposes credit risk into four easy-to-understand components. These metrics are then summarized into an overall CreditProfile Composite (CPC) score. Learn how you can easily track the credit quality of your holdings and stay a step ahead of potential credit downgrades.