Overview
A global financial institution partnered with Evalueserve to restore accuracy, transparency, and governance across its high-exposure mortgage models, spanning agency and non-agency residential mortgage-backed securities. The engagement extended a broader strategic relationship between the two organizations.
Amid rapid macro shifts, risk teams face mounting pressure to recalibrate models, unify data, and meet governance standards without interrupting analytics. Evalueserve delivers the quantitative rigor, capital-markets insight, and engineering discipline to keep that balance.
Challenge
Core mortgage models required a comprehensive recalibration to capture recent shifts in rates, prepayments, and delinquency dynamics.
The loan-level dataset was immense — billions of records and multi-terabyte inputs from multiple sources — with gaps and inconsistencies that complicated analysis. Running loan-level models at this scale was impractical, and interim controls had become a stopgap.
Our Solution: a Scalable, Integrated Model Program
Evalueserve established a well-governed, cloud data backbone to unify multi-source loan data and make quality checks repeatable and auditable.
On this foundation, we redesigned the delinquency and prepayment approach with a clustering strategy that preserved signals while reducing compute requirements, and applied modern non-linear techniques appropriate for large, heterogeneous portfolios.
Research and back-testing were organized to meet model-risk expectations from day one, with clear evidence trails and frequent working sessions to align modeling, validation, and governance.
As the work matured, the scope expanded across the non-agency universe—delivering ~200 sub-models/transitions—and refreshed agency components in parallel.
Approved research outputs were translated into the client’s C++ production engine via stable interfaces and a phased rollout (shadow runs, parallel comparisons, and versioned releases) to de-risk cutover.
Evalueserve implemented a performance-monitoring framework with pre-agreed thresholds and escalation paths, enabling model owners to proactively track, review, and re-validate as required.
Business Impact
The engagement replaced ad-hoc adjustments with a full recalibration, aligning delinquency and prepayment dynamics to current market conditions and restoring confidence in model outputs. By partnering with Evalueserve, the client gained:
- Operational throughput: Reliable, timely model runs at scale with reduced rework.
- Decision confidence: Consistent, production-ready outputs that improved trust in downstream analytics and reporting.
- Governance velocity: Tighter coordination across modeling, validation, and MRM shortened approval cycles and cleared findings faster.
These results reflect how Evalueserve delivers value beyond a single project. We combine quantitative rigor, data engineering, and researchers who think in production terms to deliver practical, scalable solutions. Backed by deep MRM and risk-tech expertise, we keep stakeholders aligned, compliant, and confident in every stage of the model lifecycle. Together, these capabilities transform manual, error-prone steps into resilient, auditable model operations—achieving speed without loss of control and precision without delay.
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Get in touch today to find out about how Evalueserve can help you improve your processes, making you better, faster and more efficient.
Overview & Impact
How Evalueserve helped a global financial institution modernize model calibration, rebuild data foundations, and accelerate validation across 200+ mortgage models.
