The client needed to validate vendor-based models used for price/yield analysis on agency and non-agency mortgage-backed securities.

Solytics conducted a thorough validation exercise based on our comprehensive model validation framework despite unavailability of the model source code and limited model development documentation:

1. Assessed model performance using benchmarking, backtesting, and stability testing.

2. Verified the accuracy and reliability of model outputs.

3. Conducted thorough benchmarking of Cash Flow projections generated by the model against multiple peer models.

4. Verified the monotonicity of model results, such as yield, price, and spread, while systematically changing parameters such as prepayment rate, price or yield.

- Ensures the accuracy and reliability of the model, boosting the clients confidence in its outputs and decision-making based on those outputs.

- Completed documentation to fill in the existing gaps.