Better Analytics for Risk Management
Plutus Analytics provides a cutting-edge risk management platform. Our mission is to build the best-in-class quantitative models and make them available to financial institutions through our risk management platform that is highly scalable, customizable, secure, cost-effective and easy to use.
Note: To use Plutus's functions, please login your plutus account.
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Securitized Products
Plutus Analytics provides a set of high quality prepayment, credit and mortgage rate models that one can use to price MBS, mortgage whole loans, CMOs, mortgage derivatives (IO, PO, MSR), etc. and calculate various risk analytics.
Our platform allows users to use their own inputs, e.g. rate environment, prepayment and default assumptions, home price projection, etc. to price and generate risk analytics for the mortgage products. Please contact us us for more information.
For agency products, Plutus Analytics provides models that users can use to price UMBS (30&15), GN pools, ARM (TSY indexed, SOFR indexed and LIBOR indexed), re-performing pools (RPL) and reverse mortgage (HMBS).
Plutus Analytics also provides models that can be used to price private label securities, including CRT, non QM products, etc.
Users may call Plutus Analytics models and cash flow engine directly from their own application through API. More information about API can be found here.
Rate Products
Plutus Analytics offers a set of high quality quantitative models and algorithms, such as term structure model, yield curve construction algorithm, derivative pricing models, etc., which enable users to price a variety of interest rate products, e.g. bonds, derivatives, and exotic instruments.
The Plutus Analytics yield curve is constructed from a set of discount rates (less than 1 year maturity) and par yields (greater than 1 year maturity) on a daily basis. Users may choose to use their own rate inputs to construct the yield curve. The Plutus Analytics platform also supports a dual-curve framework that allows users to price interest rate products using alternative discounting, i.e. SOFR discounting. Please contact us for more information.
The Plutus Analytics term structure model is calibrated daily to a set of vanilla interest rate derivatives. Users may also calibrate the term structure model to their own yield curve and interest rate instruments. The Plutus Analytics term structure model is very versatile and can be easily customized to incorporate certain special features that users may need for their term structure model, e.g. stochastic volatility, shifted lognormal volatility, multiple factors, negative rate paths, etc.
At Plutus Analytics, we believe in transparency. Users can go to Model Performance and look up the goodness-of-fit of the term structure model.
Users may call Plutus Analytics models and cash flow engine directly from their own application through API. More information about API can be found here.