Vast is a shock and stress test based ALM, designed to evaluate the performance of MSR, Whole Loans, MBS, CMOs, and their hedge instruments.
- Variable Assumption Set Tool for understanding market value risk with user control over model parameters including term structure shape, basis spreads, forward time periods, volatility surfaces, prepayment models, foreclosure loss simulation, etc.
- Enhanced CMO Bond Pricing tools – Integration with Markit and other SRO
- Enhanced MSR Hedging analytics – Derivative Pricing, VAST™ GUI
- Volatility Surface Calibration tool
- Key Volatility Analysis (KVA) tool
- Par Curve shocks or Zero Coupon Curve shocks
- Retrospective and Prospective attribution analysis in VAST™