Analytics Models
Core Pricing
LoanBook OAS Engine
Hull-White Monte Carlo option-adjusted spread, with the Z-Spread, Option Cost and COAS solved from the same run.
LoanBook Prepay Model
Prepayment speeds for all five sectors: residential refinance S-curve with burnout and turnover, consumer by loan type, a payoff-date model for fixed-rate CRE, government and lease curtailments.
Credit Risk
LoanBook Default Model v3
Residential default from a competing-risks logit hazard with macro frailty, calibrated through the cycle; lifecycle default curves for consumer and commercial loans.
LoanBook Severity Model v3
Loss given default as a percentage of the balance at default; Residential reads a realized loss table with the property marked at the time of default.
Portfolio Analytics
LoanBook Total Return Engine
Multi-horizon holding period return with a five-component decomposition: income, amortization or accretion, credit loss, price change and reinvestment.
LoanBook Novel Metrics
7 proprietary derived metrics and 2 composite scores validated against Fannie Mae loan performance data.
SBA
SBA 7(a) Prepay & Default Model
S-curve prepayment and involuntary prepayment model for 7(a) guaranteed portions, calibrated from SBA 7(a) FOIA loan records with lender quality multipliers.
SBA 504 Prepay & Default Model
Age-based prepay engine and lifecycle default curve calibrated from funded SBA 504 FOIA loans.