BLOOMBERG – MAC3 Securitized Products Models

In this seminar, we will present MAC3 Securitized Product Risk Model, with a focus on US MBS, CMBS and CMO risk models. We will discuss factor structure and backtest performance compared with legacy GRM.
– Overview of Securitized Products
– Pricing Model and Analytics
– Special Aspects of Securitized Risk Models
– Selected Securitized Models in Detail: MBS, CMBS and CMO

February 22, 2023