Monte Carlo Simulation Methodology
RiskModel employs state-of-the-art Monte Carlo simulation methodology to project the distribution of potential outcomes given particular “What if?” assumptions. While most modeling technology offers only “single-point” risk forecasts, Monte Carlo projections enable users to see the full range of potential outcomes and to judge with confidence the relative likelihood of each outcome.
Powerful, Yet Easy to Use
LoanPerformance RiskModel makes it easy to create statistical distributions of prepayments, defaults, losses, and cash flows over time for each loan in a portfolio. Users simply import loan-level mortgage data along with simulation assumptions, and run the simulation. RiskModel outputs can be imported into databases and spreadsheets to prepare cash flow forecasts, profit and loss statements, loan level scores, delinquency, prepayments, loss distributions and other reports.
Built by Modelers, Statisticians, Financial Software Engineers
RiskModel software is designed, built and tested by an experienced team of analytical modelers, statisticians, and financial software engineers, to provide clear, reliable, realistic projections of future economic performance. RiskModel’s predictive technology is based on economic theory that employs only logically predictive variables—so the results predict the future rather than simply matching the past.
In Addition, RiskModel now features expanded access and flexibility:
- Desktop Graphical User Interface (GUI): The GUI for the RiskModel has been completely reengineered enabling the user to leverage the sophisticated analytics of the RiskModel through an easy-to-use graphical user interface.
- Conversion Wizard: A new conversion tool saves time and gives users the flexibility to work with a full range of commonly-used OLE-DB (Object Linking and Embedding Database) and ODBC-compatible (Open Database Connectivity) data files.
- Ongoing Surveillance and “Dials” Calibration Recommendations: In response to ongoing surveillance, updated dial recommendations are periodically made available to users to better capture the current volatility of the mortgage market. “Dials” have been developed specifically for modified loans.
- Application Programming Interface (API): A Windows-based API enables users to automate their analytics research and reporting by integrating it directly into a company’s existing business workflow and data reporting infrastructure. The updated API enables customizable, fully automated bond analytics research for high volume portfolio analysis when integrated into business processes. The API can be accessed via C++ and other programming languages or directly through command line prompts.
- Updated Models: Several model enhancements have extended the scope and quality of the software analytics in RiskModel. Prime delinquency, default, and prepayment equations have been fully redeveloped to better capture the current dynamics of the mortgage market, coupled with newly developed handling for the jumbo-conforming loan segment. Additionally a reestimated statistical loss-given-default model improves the accuracy of severity forecasts for prime, Alt-A, and subprime market segments.
Enables “What If” modeling.
The RiskModel employs an innovative Monte Carlo simulation methodology that enables the projection of a distribution of potential cash flow outcomes. This capability enables “What if” analysis to identify and quantify expected and unexpected outcomes. These are challenges every institution, regardless of size, faces each day.
If you find yourself time or resource-constrained, there is an alternative – We provide the analysis - you make informed and accurate decisions. All with little or no resource constraint on you or your team.
CoreLogic Professional Services utilizes the RiskModel to provide you with an unparalleled arsenal of business intelligence.
Put your questions in our hands and let our expert team provide you with analysis from today’s most powerful predictive technology. You’ll receive reporting and analysis of prepayment, delinquency, default and cash flows for portfolios, securities, and individual loans, all customized to your specific requirements. Both existing RiskModel licensees and non-licensees currently take advantage of this resource.
Engagement Highlights
- Benefit from the same forecasting accuracy used by today’s leading originators, aggregators, servicers, and investors
- Provides an objective third-party opinion
- Conserves precious staff and machine resources
- Cost-effective solution to get you the answers you need fast
- Customize the frequency to suit your needs: monthly, quarterly, semiannual or one-time
- Priced on a by-engagement basis
