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Murex and AD&Co Collaborate to Offer Advanced Risk Measurement for MBS

22/03/2018

Paris, 22 March 2018 - Murex clients can access AD&Co’s OAS Subroutine to capture interest rate and prepayment model risk for MBS portfolios -

Andrew Davidson & Co., Inc. (AD&Co) a provider of risk analytics and consulting, and Murex, a global leader in trading, risk, and processing solutions are pleased to announce 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 new collaboration provides clients with an advanced risk analytics product, including Value-at-Risk (VaR) capabilities, for Mortgage-Backed Securities (MBS).

The addition of AD&Co’s OAS Subroutine allows 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 behavior of borrowers, across all types of residential MBS.

Alex Levin, AD&Co’s Director of Financial Engineering, states “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.

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.”

The AD&Co OAS Subroutine is offered as an add-on service for Murex clients through a Dynamically Linked Library (DLL). Murex clients can license the OAS Subroutine directly from AD&Co.

 

About AD&Co

Andrew Davidson & Co., Inc. 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. Their unique blend of investment expertise and innovative quantitative methods combines decades of Wall Street experience with the most advanced modeling techniques. For more information about Andrew Davidson & Co., Inc., please visit www.ad-co.com.