Analysis, Vendor Selection, Specifications & Development for a Global Bank
PROBLEM:- Existing process for OTTI computation on a multi-billion-dollar RMBS portfolio is manual, error-prone and time-consuming
- The labor intensive process could only allow a small fraction of the portfolio to be run through
- Lack of detailed information for strategic decision making for RMBS investments
SOLUTION:
- MarketMonitor: Real-time streaming analytics
- Market performance, pricing and other data
- Internal trading support & customer facing
- Mortgage Analytics Portal
- Pricing Model
- Rate Sheet Generation
- Bulk Pricing Front-end
- TBA Regression
- Whole Loan Performance
- Risk Management Systems Integration
- Loans, securities & derivatives feed to PolyPaths
- Integration with multiple internal systems
- Quantitative Model Development & Other
- MBS prepayment and default model development
- Trade and position reconciliation reporting
- CMO structuring tool & loan pricing model component
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| » Whole Loan Pricing | » Mortgage Quantitative Research Tools |
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