Asset and Liability Management System – Vision™
MIAC’s Vision™ Software Suite for Asset and Liability Management helps financial institutions understand and manage credit and market risks, engage in capital planning and perform various portfolio Stress Tests, Asset Valuations and analyses. The library of tools continues to grow on a daily basis in order to keep pace with the continually evolving financial markets.
The flexibility of Vison™ combined with its user access controls allows financial institutions to lock down specific asset-level cash flows and analyses with the maximum amount of accuracy in order to retain consistency.
The scenario configuration tool within Vision™ allows for any number of deterministic, formulaic or simulated macroeconomic scenarios. Stochastic variables can be parameterised by the software or specified by the user.
A wealth of in-built model templates for mortality, default, prepayment and loss can be parameterised by the user so that they are calibrated at the specific portfolio level. These models can be linked to macroeconomic factors within the specified scenario.
Standard reports exist for certain tools within Vision™, and reports can be user specified in order to provide the maximum specificity to client requirements.
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Vision™: Pricing & Valuation Tool
Vision™ has an array of different pricing methodologies implemented in order to apply the most appropriate methodology to valuation challenges related to any specific asset class. Cash flows are calculated at the loan level which results in the most granular pricing available.
Assumption templates for prepayment, default and loss can be calibrated to portfolio or client-specific data or can be parameterised through MIAC’s own internal data sources where there is data scarcity on the client side.
Vision’s scenario tools enable quick and easy output of sensitivities and simulations for pricing so that the distribution of prices is fully understood rather than just the expected value.
Pricing reports can be generated in order to provide the user with a period-on-period price change explanation so that the business has a full view of any differences for reconciliation and justification of the outputs.
Vision™: Risk Management Framework
MIAC believe that the ability to productionise the risk management function within any financial institution into a reliable and efficient software solution is of paramount importance.
- User configurable value at risk calculations for risk-based capital approaches such as Basel II/III, Solvency II and IFRS 9.
- Scenario tools maximise the efficiency of stress testing assignments and reporting that aggregates scenario-level results into digestible formats.
- Hedging instruments for market risk analyses.
Vision™, Bond Agent™: Capital Markets
MIAC’s capital markets services utilise our proprietary bond analytics software Bond Agent™ which allows users to input underlying collateral cashflows, either user-defined or through MIAC’s assets and liability software, Vision™.
Bond Agent™ allows MIAC to offer the following services to capital markets participants:
- Bond valuation: calculation of bond cash flows, price/yield table and sensitivities based on MIAC generated cashflow projections or customer-defined cashflows.
- Risk retention & derecognition of assets: EU policies around risk retention and IFRS9 rules on the derecognition of assets provide challenges for originators when it comes to simultaneously keeping “skin-in-the-game” and removing assets from the balance sheet.
- Stress testing and reverse stress testing: Provide ‘what-if’ analysis under varying loan behaviours, macroeconomic environments and different structures. Output the metric magnitude (e.g. CDR shift) and timing that result in tranche wipeout.
- Forensic analysis: The ability to trace cash flow sources through the waterfall structure in order to understand and reconcile the outcome of any structure fully.
- Agency replication grades: Optimisation routines which fit tranches to ratings provide insightful benchmarks to agency or internal grades.