The Acadametrics Predictive Mortgage Analytics service provides owners of mortgage portfolios, together with potential investors in mortgage assets, with a detailed appreciation of the potential behaviour of a mortgage portfolio, under current and future macroeconomic scenarios. Analysis is at cohort (e.g. risk category or LTV) level.

Users of Predictive Mortgage Analytics deliver loan level input data that are then aggregated into the cohort categories which they have defined; delivery to us is via our confidential secure website. We then prepare the agreed reports to enable past performance to be tracked, current status of the loan segments to be reviewed and forecasts to be provided of likely future performance under a variety of scenarios selected by the client. Output is transferred back to the client via the same secure process.

Predictive Mortgage Analytics can provide the user with a hands-on, interactive, desktop solution enabling the impact on future performance of even slight changes in future economic conditions to be understood. In a desktop tool format, it can contribute to a Reverse-stress testing procedure for mortgage loan assets. Our complementary Stress and Scenario Testing service then enables the impact of chosen scenarios to be investigated at loan by loan level.

The renewed focus on robust stress and scenario testing requires that a business can deliver an effective view of the impact on its mortgage business model of worst case outcomes, were all risks to crystallise. Predictive Mortgage Analytics (PMA) provides that required process. Furthermore, it enables key factors, such as potential loan book additions/disposals or changes in lending policy, to be modelled, and supports contingency and risk management planning.

Developed in conjunction with a major bank and Dr Stephen Satchell (The Reader in Financial Econometrics at the University of Cambridge), and drawing upon our experience of assessing mortgage risk over the past 20 years, the PMA service provides the mortgage asset market with an effective tool which can be used as an integral part of their processes.

Further descriptive material will be sent on request to info@acadametrics.co.uk or call us on 020 8392 9082.