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Risk Model Overview

Key findings of the Credit Evaluation System

  • Timing and amount of default
  •  Loss severity
  • Recovery period
  • Balloon loss severity
  • Loan by loan stressed cash flow
  • Pay-down
  • Extension months
  • Reason of default/extension
  • Global assumption
  • Stressed bond cash flow
  •  Price yield
  • Followed the bottom most approach to analyze the risk of the loan.
  • Application of Global assumptions which are NOI curve, Cap rate, Debt Yield threshold, Largest tenant, LTV assumptions, Occupancy to generate their sensitivity among each other
  • NOI curves are generated based on various property types and MSA. The curves are based upon base, best and worst case scenarios.
  • Web based tool with lot of flexibility and scalability.
  • User has the flexibility to create, modify and analyze Portfolio and look at various reporting.
  • Cash flows are generated using Trepp API which is built in ‘C’ language.
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