Valuation, Pricing & Analytics
NuQuants develops and executes processes to perform daily valuations, risk analysis, pricing, prepayment/default analysis, model back-testing, and delivers customizable reports via an interactive portal using inhouse and/or 3rd party solutions.
Valuation, Analytics & Reporting
- Conduct daily cohort-level valuations to generate values and risk metrics for mortgage-backed securities (MBS), whole loans, Mortgage Servicing Rights (MSR), asset-backed securities (ABS), commercial loans, distressed assets, corporate bonds, and government debt.
- Maintain a historical repository of valuations and risk metrics for audit and validation.
- Develop daily attribution reports to track changes in asset values.
- Produce end-of-day flash reports for quick insights into asset performance.
- Create dashboards to visualize and monitor the performance of these assets.
Asset Pricing
- Value synthetic loans with different attributes, to generating pricing grids
- Maintain separate assumptions for new loans vs. existing portfolios.
- Establish overlays to raw prices for price distribution.
- Distribute rate sheets and analyzing price changes using attribution analytics.
Performance Analysis
- Analyze and Attribute actual and forecasted prepayment and default/delinquency behavior.
- Reconcile actuals vs. Forecasted cash flow and analyzing realized vs. model returns.
Model Backtesting
- Back-test behavioral models to ensure accuracy and reliability.
Communication & Reporting Packages
- Prepare communication and reporting packages for various levels of management, including risk measures such as price, yield, duration, spread, prepayment speed, and Value at Risk (VaR) and 10Q/10K disclosures.
- Develop interactive portal for management to access customized reports and dashboards on demand, enhancing transparency and information sharing.
