Pricing, Valuation, Trading, Risk & ALM

Valuation, Pricing & Analytics

We adopt a rigorous, bottoms-up approach to valuation, recognizing its critical role within the interconnected ecosystem of pricing, risk management, distribution, and operational focus.

Our methodology ensures that valuation and pricing decisions are based on realistic assumptions and internally consistent models, covering a broad spectrum of fixed income instruments such as mortgage-backed securities (MBS), whole loans, Mortgage Servicing Rights (MSR), asset-backed securities (ABS), commercial loans, distressed assets, corporate bonds, and government debt.

Collateral Analytics

NuQuants can develop custom solutions tailored for collateral analytics, offering data extraction, data cleansing, data validation, and data enrichment to create standardized data sets, instruments level/cohort level analysis, alongside streamlined reporting processes and advanced analytics tools.

These solutions integrate both external and internal data sources, handling structured and unstructured data to provide deeper insights and improved decision-making.

Pricing & Profitability Analytics

Develop and manage models and processes for generating mortgage prices (Held for Sale or Held for Investment) and rate sheets using synthetic portfolios across D2C, retail, and third-party channels.

Establish governance processes, distribute rate sheets, and develop revenue forecast models aligned with ROE/ROA requirements, scenario analysis and attribution framework to analyze variances between actuals and forecasts.

Risk Reporting & Analytics

Identify, measure, and report risks using advanced analytics and data-driven insights. Utilize models to evaluate and report on key risk factors, such as credit, market, prepayment, default, and operational risks, enabling proactive management.

Develop dashboards that integrate real-time data and scenario analysis to support informed decision-making, enhance compliance, and strengthen overall risk mitigation strategies

Asset Liability Management (ALM)

NuQuants administers and maintains ALM platforms to support comprehensive risk management and financial modeling, integrating data from core banking systems and other sources.

The team reconciles data, conducts interest rate and liquidity risk analysis, and performs stress testing, including CECL and capital stress testing, ensuring regulatory compliance.

NuQuants also provides customizable reports and dashboards, enabling detailed analysis and automated report generation. These tools support financial strategy by optimizing funding, managing risks, and delivering insights for ALCO, Board, and regulatory reviews.

Outsourced Valuation & Analytics Functions

NuQuants leverages a combination of US-based and offshore resources to manage clients’ valuation, trading, and risk management platforms.

This includes performing daily data integrity checks, portfolio reconciliation, trade execution validation, market data updates, job configuration, execution and monitoring, conducting risk and compliance check and reporting through management dashboards.

Implementation – On premise and Cloud

We provide a full life cycle implementation of valuation, Trading & Risk Management and ALM suites from multiple vendors all the way from configuration, customization, integration, testing, rollout to post-production management for both on-premise, and cloud solutions.

Training

NuQuants provides comprehensive training solutions, available both online and on-premise, to help financial institutions enhance their knowledge and skills in critical areas such as pricing, valuation, hedging, risk management, and Asset Liability Management (ALM).

These training programs are tailored to meet the specific needs of teams working in banking, financial services, and investment management, helping participants deepen their expertise and apply advanced methodologies in their daily operations.