System and Method for Valuation and Risk Estimation of Mortgage Backed Securities
Systems and methods for investment production valuation and risk estimation for mortgage-backed security products are provided. In one embodiment, the disclosure provides a system for investment product valuation and risk estimation, comprising a computer system for receiving information about a mortgage-backed security, an engine executed by the computer system and processing the information about the mortgage-backed security to disaggregate individual loan data, the engine simulating future prices scenarios of the mortgage-backed security using one or more computer models to generate valuation and risk estimation data for the mortgage-backed security, and a user interface generated by the system for presenting a report to a user which includes the future price scenarios of the mortgage-backed security.
1 . A system for investment product valuation and risk estimation, comprising:
a computer system for receiving information about a mortgage-backed security;
an engine executed by the computer system and processing the information about the mortgage-backed security to disaggregate individual loan data, the engine simulating future prices scenarios of the mortgage-backed security using one or more computer models to generate valuation and risk estimation data for the mortgage-backed security; and
a user interface generated by the system for presenting a report to a user which includes the future price scenarios of the mortgage-backed security.
2 . The system of claim 1 , wherein the one or more computer models comprise a short-term model for processing information about a borrower's immediate behavior and continuously updating the information to capture signals of changes in behavior and risk.
3 . The system of claim 2 , wherein the short-term model generates one or more short-term scores.
4 . The system of claim 1 , wherein the one or more computer models comprise a long-term model for producing long-term estimates of default, prepayment, loss severity, and delinquency at the individual loan level.
5 . The system of claim 4 , wherein the long-term model utilizes a state transition matrix model.
6 . The system of claim 1 , wherein the one or more computer models comprise a Monte Carlo simulation engine for generating one or more market effect paths.
7 . The system of claim 6 , wherein the Monte Carlo simulation engine builds individual models for HPI, unemployment rates, interest rates, and price distribution.
8 . The system of claim 1 , wherein the one or more computer models comprise a cash flow engine for calculating the intrinsic value of a mortgage-backed security.
9 . The system of claim 1 , wherein the one or more computer models comprise a Mark-to-Market model for calculating a mark-to-market value of a mortgage-backed security.
10 . The system of claim 1 , wherein the computer system is in electronic communication with one or more databases to receive up-to-date borrower information for the mortgage-backed security.
11 . The system of claim 1 , wherein the computer system is in electronic communication with one or more databases to receive up-to-date property valuation information for each property associated with the mortgage-backed security.
12 . The system of claim 1 , wherein the interface comprises interactive checkboxes to visually toggle between paths generated by the system.
13 . The system of claim 1 , wherein the engine clusters similar bonds of the mortgage-backed security.
14 . A method for investment product valuation and risk estimation, comprising the steps of:
electronically receiving at a computer system information about a mortgage-backed security;
executing an engine to process the information about a mortgage-backed security using one or more models for simulation of future scenarios of the mortgage-backed security to generate valuation and risk estimation data for the mortgage-backed security; and
generating a user interface for presenting a report to a user which includes the future price scenarios of the mortgage-backed security.
15 . The method of claim 14 , wherein the one or more computer models comprise a short-term model for processing information about a borrower's immediate behavior and continuously updating the information to capture signals of changes in behavior and risk.
16 . The method of claim 15 , wherein the short-term model generates one or more short-term scores.
17 . The method of claim 14 , wherein the one or more computer models comprise a long-term model for producing long-term estimates of default, prepayment, loss severity, and delinquency at the individual loan level.
18 . The method of claim 17 , wherein the long-term model utilizes a state transition matrix model.
19 . The method of claim 14 , wherein the one or more computer models comprise a Monte Carlo simulation engine for generating one or more market effect paths.
20 . The method of claim 19 , wherein the Monte Carlo simulation engine builds individual models for HPI, unemployment rates, interest rates, and price distribution.
21 . The method of claim 14 , wherein the one or more computer models comprise a cash flow engine for calculating the intrinsic value of a mortgage-backed security.
22 . The method of claim 14 , wherein the one or more computer models comprise a Mark-to-Market model for calculating a mark-to-market value of a mortgage-backed security.
23 . The method of claim 14 , wherein the computer system is in electronic communication with one or more databases to receive up-to-date borrower information for the mortgage-backed security.
24 . The method of claim 14 , wherein the computer system is in electronic communication with one or more databases to receive up-to-date property valuation information for each property associated with the mortgage-backed security.
25 . The method of claim 14 , wherein the interface comprises interactive checkboxes to visually toggle between paths generated by the system.
26 . The method of claim 14 , wherein the engine clusters similar bonds of the mortgage-backed security.
27 . A computer-readable medium having computer-readable instructions stored thereon which, when executed by a computer system, cause the computer system to perform the steps of:
electronically receiving at the computer system information about a mortgage-backed security;
executing an engine to process the information about a mortgage-backed security using one or more models for simulation of future scenarios of the mortgage-backed security to generate valuation and risk estimation data for the mortgage-backed security; and
generating a user interface for presenting a report to a user which includes the future price scenarios of the mortgage-backed security.
28 . The computer-readable medium of claim 27 , wherein the one or more computer models comprise a short-term model for processing information about a borrower's immediate behavior and continuously updating the information to capture signals of changes in behavior and risk.
29 . The computer-readable medium of claim 28 , wherein the short-term model generates one or more short-term scores.
30 . The computer-readable medium of claim 27 , wherein the one or more computer models comprise a long-term model for producing long-term estimates of default, prepayment, loss severity, and delinquency at the individual loan level.
31 . The computer-readable medium of claim 30 , wherein the long-term model utilizes a state transition matrix model.
32 . The computer-readable medium of claim 27 , wherein the one or more computer models comprise a Monte Carlo simulation engine for generating one or more market effect paths.
33 . The computer-readable medium of claim 32 , wherein the Monte Carlo simulation engine builds individual models for HPI, unemployment rates, interest rates, and price distribution.
34 . The computer-readable medium of claim 27 , wherein the one or more computer models comprise a cash flow engine for calculating the intrinsic value of a mortgage-backed security.
35 . The computer-readable medium of claim 27 , wherein the one or more computer models comprise a Mark-to-Market model for calculating a mark-to-market value of a mortgage-backed security.
36 . The computer-readable medium of claim 27 , wherein the computer system is in electronic communication with one or more databases to receive up-to-date borrower information for the mortgage-backed security.
37 . The computer-readable medium of claim 27 , wherein the computer system is in electronic communication with one or more databases to receive up-to-date property valuation information for each property associated with the mortgage-backed security.
38 . The computer-readable medium of claim 27 , wherein the interface comprises interactive checkboxes to visually toggle between paths generated by the system.
39 . The computer-readable medium of claim 27 , wherein the engine clusters similar bonds of the mortgage-backed security.