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Leading-edge risk metrics and valuation tools
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Advanced Analytics
RangeMark makes available to our clients its truly unique, state-of-the-art risk
analytics/valuation Platform for residential and commercial mortgage loans and
securities. The Platform, based on
micro-economics and option pricing theory, derives fundamental and
market-implied valuation of the full range of mortgage products. It integrates RangeMark’s predictive
behavioral models and multi-stage, multi-factor Monte Carlo Simulation framework
to enable true option-theoretic analysis and diagnostics for the most complex
structured products.
Our clients can access the Platform wherever there’s internet connectivity. This feature is particularly valuable
to traders needing continuous access to view their positions and evaluate
investment opportunities. It also
facilitates multiple-user access, while mitigating local network congestion.
Cloud Computing
The Platform uses massively parallel distributed processing to run thousands of
loans, securities and portfolios simultaneously – even the most highly
engineered and credit impaired -- in minutes.
RangeMark delivers a flexible, turn-key Cloud architecture that enables
our clients to dial-up or down processing speed. Clients have exclusive access
to a segregated virtual node farm, ensuring proprietary information and results
are completely secure. An
alternative licensing arrangement is possible for those preferring local network
storage and processing.
Integrated Modeling System
The Platform is a dynamic system of
several integrated modules. Borrower payment decisions, subsequent lender action
and the timing and proceeds from liquidation of foreclosed homes, are highly
interrelated. Our models that predict such decisions and behaviors
(delinquencies, defaults, severity, prepayments, foreclosure, repossession and
loss) are linked by common global factors such as interest rates, local factors
such as the economic environment, and home prices (the risk drivers).
Loan-Level Models
The Platform integrates models developed from exhaustive studies of individual
obligor and constituent behavior.
The models are also applied at the loan level to ensure the Platform’s analytics
reflect the full distribution of possible outcomes – rather than just the
expected performance.
Option-Adjusted Analytics
The integration of our behavior models and simulation engine enables the
development of true credit-option adjusted metrics. COAS, for instance, is based not on
some arbitrary assumption about performance distribution, but on the volatility
of actual risk drivers and relationships among forecasted variables. By combining bottom-up fundamental
analysis with market-based intelligence, the Platform is particularly effective
in valuing liquidity-challenged RMBS and CMBS.
Customization
RangeMark designs custom applications and functionalities to meet our clients’
special analysis and reporting needs.
Such customization includes metrics/diagnostics for statutory or GAAP
compliance, such as fair value, capital/reserve adequacy, OTTI. The Platform can be integrated with
major loan-level datasets, subject to RangeMark’s proprietary data-quality
measures, and the Platform can be easily linked to enterprise risk management or
reporting systems. |
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