Glossary & Calculation Methodologies

Glossary A-Z
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Thu, 11 Jul, 2019 at 11:49 AM
Cashflow Calculations
The dv01 cashflow engine projects future cashflows by simulating the performance of loans and waterfall structures based on user-specified assumption vector...
Mon, 25 Mar, 2019 at 4:53 PM
CDR Calculation
Conditional default rate (CDR) is calculated using monthly data. For a given month, the annualized CDR is defined as: where the liquidation rate is the s...
Mon, 25 Mar, 2019 at 4:54 PM
CPR Calculation
Conditional prepayment rate (CPR) is calculated using monthly data. For a given month, the single monthly mortality rate (SMM) is first calculated: where...
Mon, 25 Mar, 2019 at 4:54 PM
Cumulative Loss Calculation
Cumulative loss severity is calculated by taking the amount charged off less the net recovery over the original loan balance.
Mon, 25 Mar, 2019 at 4:54 PM
How dv01 Calculates Yield
The yield dv01 generates when pricing cash flows is bond equivalent yield (BEY). BEY is the industry standard for quoting bond yields. You can recreate the ...
Mon, 25 Mar, 2019 at 4:54 PM
Loss Severity Calculation
Loss Severity is calculated by first calculating the percent net recovery, which is the amount recovered from charged-off loans over the total balance of lo...
Mon, 25 Mar, 2019 at 4:54 PM
NAR Calculation
Net Annualized Return (NAR) is calculated by annualizing the cumulative sum of monthly proceeds over the cumulative sum of start of month balances: wh...
Mon, 25 Mar, 2019 at 4:55 PM
ROI Calculation
Return on Investment (ROI) is calculated by dividing the cumulative proceeds over the original balance: where proceeds is:
Mon, 25 Mar, 2019 at 4:55 PM