Murex, a provider of trading, risk, and processing solutions, has partnered with Andrew Davidson & Co to offer risk analytics for mortgage backed securities.
Andrew Davidson & Co (AD&Co), a provider of risk analytics and consulting, and Murex said that AD&Co’s OAS Subroutine, which includes the Agency Loan Dynamics Model (Agency LDM), is now available within Murex’s MX.3 platform.
The collaboration will provide clients with an advanced risk analytics product, including Value-at-Risk (VaR) capabilities, for Mortgage-Backed Securities (MBS).
AD&Co’s OAS Subroutine will allow Murex clients to model agency securities including Interest Only (IO) and Inverse IO strips, using a widespread industry Options Adjusted Spread (OAS) model that accounts for the relationship between interest rates, home prices and prepayment behaviour of borrowers, across all types of residential MBS.
Franck Lanowith, head of fixed income securities and credit derivatives at Murex, comments “The pre-packaged solution integrating AD&Co’s Subroutines with MX.3 allows our clients to perform comprehensive analysis of mortgage securities, including prepayments and default models, while seamlessly leveraging MX.3 platform business processes, like real-time portfolio management, VaR, stress testing and the automated life cycle.”
Andrew Davidson & Co offers risk analytics and consulting for fixed income investors with an emphasis on mortgage–backed securities, whole loans and credit-risk sharing. AD&Co currently offers a Prepayment/Default model (LoanDynamics) for most types of U.S. residential and multifamily loans, and a suite of financially engineered tools including option-adjusted valuation and risk management tools for MBS, ABS, and CMOs.
Alex Levin, AD&Co’s Director of Financial Engineering, added: “Murex and AD&Co have jointly created an advanced VaR product for MBS portfolios that extends risk measurement to both observed and unobserved factors. The ability to capture interest-rate risk exists in many software products on the market; Murex’s MX.3 goes beyond and incorporates prepayment-model risk as well.”
Copyright © 2018 RegTech Analyst
Copyright © 2018 RegTech Analyst
