15 skills · sorted by relevance
Monitors structured product performance with collateral deterioration triggers, coverage test tracking, and credit migration analysis. Use when conducting ABS surveillance, monitoring CLO performance, or tracking structured product credit.
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Builds CPR/CDR/severity vectors with scenario analysis across interest rate and economic environments. Use when modeling prepayment behavior, projecting default scenarios, or stress testing pool performance.
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Analyzes structural interest rate exposure with fixed/floating mismatch, basis risk, and cap/floor adequacy assessment. Use when modeling structural rate risk, analyzing basis risk, or evaluating interest rate hedging needs.
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Builds revolving securitization models with replenishment criteria, early amortization triggers, and portfolio composition limits. Use when modeling revolving structures, analyzing credit card ABS, or evaluating asset purchase criteria.
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Builds CLO waterfall models with coverage tests, reinvestment criteria, and distribution allocation across tranches. Use when modeling CLO structures, analyzing OC/IC tests, or projecting tranche returns.
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Calculates required credit enhancement levels with loss modeling, attachment/detachment points, and rating agency methodology. Use when sizing credit enhancement, modeling loss scenarios, or determining tranche subordination.
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Structures warehouse lending for securitization programs with advance rates, eligibility criteria, and ramp-up analysis. Use when managing warehouse lines, structuring ramp facilities, or analyzing warehouse economics.
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Structures Regulation AB II compliance with asset-level data requirements, servicer reporting, and shelf registration eligibility. Use when ensuring Reg AB compliance, preparing ABS reporting, or structuring shelf eligibility.
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Assesses underlying asset pools with stratification, concentration analysis, historical performance, and credit quality distribution. Use when analyzing collateral pools, stratifying asset characteristics, or evaluating pool quality.
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Evaluates structured product tranche pricing with spread analysis, yield attribution, and comparable structure benchmarking. Use when assessing tranche value, comparing structured product pricing, or analyzing spread components.
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Evaluates synthetic CDO and CRT structures with credit default swap mechanics and funded/unfunded tranche analysis. Use when analyzing synthetic structures, evaluating credit risk transfer, or modeling CDS-based securitizations.
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Evaluates rating agency methodology application with loss model inputs, correlation assumptions, and tranche-level credit assessment. Use when analyzing structured product ratings, comparing agency methodologies, or assessing rating sensitivity.
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Evaluates master and special servicer performance with delinquency management, modification outcomes, and loss mitigation effectiveness. Use when assessing servicer quality, monitoring servicing metrics, or evaluating servicer transfers.
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Evaluates MBS structures with prepayment modeling (CPR/CDR), collateral analysis, and tranche-level credit risk assessment. Use when analyzing MBS, modeling prepayment scenarios, or evaluating residential mortgage pools.
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Evaluates non-traditional securitization collateral including solar, data centers, digital infrastructure, and IP royalties. Use when analyzing esoteric ABS, evaluating non-standard collateral, or structuring novel asset classes.
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