Integrand Analytics has indepth knowledge and experience in modeling complex capital structures at collateral and deal levels. We incorporate a bottom-up approach in our models which enables us to take into account factors like default risk, prepayment risk and defeasance at the collateral level. We also have experience in modeling companion loans and senior-subordinate structures, cross collateralization, cross-defaults in CMBS mortgages.
At the deal level, we have modeled complex waterfall structures to predict bond cash flows and losses. We also implement various hedging mechanisms while valuing portfolios.
We have also built custom models for clients on top of industry leading datasources, incorporating their APIs using latest technology in .Net, database for fast and efficient products. (Note: Clients should possess genuine license of third-party sources for us to build such customized solutions.)
CMBS Deal Structuring Tool
CRE PD-LGD Model