Valuation Methodology

Our valuation methodology leverages our sophisticated proprietary models to deliver complex valuations needed in today’s environment.

  • Proprietary models
  • Loan-level analysis and modeling to project default, severity, losses and prepayments
  • Market models include interest rate, loss distribution and prepayment
  • Real time market data provides up-to-the-minute input to asset valuations

Loan Level Analysis

RiskSpan maintains a large database of loan level collateral files. The Valuation Team runs the loan level files through the RiskSpan Credit/Prepay Models to project defaults, losses and prepayments.

  

Market Models

RiskSpan’s Interest Rate, Loss Distribution and Prepayment Models are calibrated to actively traded securities markets. This calibration provides accurate FAS 157 compliant pricing 

Market Inputs

RiskSpan’s Data Team provides real time and historical closing prices/rates for:

Swaps US Treasury ABX
Swaptions TBAs CMBX
Caps/Floors IOs/ POs CDX

Full Service

RiskSpan’s Valuation Team can deliver a full suite of solutions including: Advisory, Risk Management, Surveillance, Trade Management, Portfolio Analysis and Data Management.