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MPA Whitepaper April 15 2013.pdf
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This document outlines the underlying research, model characteristics, data, and validation results for
Mortgage Portfolio Analyzer (MPA), which is an analytic tool to assess credit risk measures, capital levels
and stress scenarios for portfolios of residential mortgages. MPA comprises loan-level econometric models
for default, prepayment, and severity. These models are integrated through common dependence on
macro-economic factors, which can be either simulated at national, state, and Metropolitan Statistical Area
(MSA) levels or input in the form of customizable stress scenarios. This integration produces correlation in
behaviors of loans across the portfolio. The simulation incorporates a multi-step Monte Carlo approach and
generates monthly P&I cash flows and losses, which enables the model to be used for ALM applications or
to be combined with an external cash flow waterfall tool and used for simulation of RMBS transactions.
Scenario and stress testing are also done in a multi-period framework. Furthermore, the model
accommodates both loan-level and portfolio-level mortgage insurance. Thus, MPA can be used to analyze
the credit risk in both portfolios of whole loans and RMBS transactions.
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