We’re excited to announce our latest Quantitative Perspectives providing in-depth insights into current market trends and advanced valuation techniques. This publication offers valuable information for mortgage market participants and those involved in credit risk transfer transactions.

Climate-Conditioned LoanDynamics Model (ccLDM) 

Eknath Belbase introduces the integration of climate risk into our analytical framework. Building on previous work, he explores how our LoanDynamics Model (LDM) has evolved to account for climate-related factors, adjusting prepayment and default probabilities. Climate-conditioned versions of LDM and House Price Appreciation (HPA) model are now integrated into our LoanKinetics (LK) tool and OAS subroutine, available for use. This paper focuses on the advancements in our prepayment, default, and severity models to better capture climate risk. Click below to read the full paper.

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