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LoanAnalyticsLibrary.md

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Loan Analytics Library

Loan Analytics Library contains the Valuation and Risk Functionality for Asset Backed Borrower and Loan Level Characteristics.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Loan => Asset Backed Borrower and Loan Level Characteristics.

Coverage

  • The Distribution of Loan Portfolio Value
    • Introduction and Overview
    • The Limiting Distribution of Portfolio Losses
    • Properties of the Loss Distribution
    • The Risk-Neutral Distribution
    • The Portfolio Market Value
    • Adjustment for Granularity
    • Summary
    • References
  • Vasicek Model Default Risk Simulation
    • Theoretical Background
    • Model Implementation
    • Sample Simulation Results
    • Implication of the Simulation Tests
    • Limitations of the Model
    • References
  • Market Place Lending Credit Model Methodology
    • Overview of Credit Model Methodology
    • Credit Methodology – Purpose and Introduction
    • Scope of the 2.0 Model
    • Data Model Construction Rules
    • Loan Data Quality Rules
    • Lending Club Loan Level Data
    • Loan Credit Model Implementation
    • DROP Credit Model Selection Methodology
    • Empirical Results – Regressor Contribution Weights
    • Empirical Analysis of Seasoning Effects
    • Analysis of the Vintage/Cohort Effects
    • Analysis of Empirical Seasonality Effects
    • CPR And CDR Curve Estimation
    • Credit Model Future Enhancements
    • References
  • Asset-Backed Requirements
    • All Asset-Backed Desks
    • Search, Filter, Group, and Sort Capability
    • Position Management
    • Position Summary Reports
    • Historical
    • Pricing
    • PnL
    • Interest Rate Risk
    • Offerings
    • What-if Analysis – Scratch Pads
    • Non-Agency RMBS/Agency RMBS Pass-through

DROP Specifications