Analysis

Watkins was engaged by a Government Sponsored Entity (GSE) to assist with the implementation of enhanced risk metrics for a segment of the firm's mortgage portfolio. A Watkins Capital Market's expert led this effort by identifying, sourcing, and integrating new data sources into interest rate models, enabling more advanced projections of interest rate splines.  These enhanced splines were then incorporated into volatility models.  This project resulted in improved portfolio analytics, facilitating more informed decision making.  In addition, Watkins experts reverse engineered the financial structure of numerous complex financial instruments in order to generate predictive cash flows, designed to enhance analytics and market valuations.  Upon completion of this project, the team prepared detailed reports for senior management regarding the reliability of the enhanced models and implications for future risk management decisions.