Investment Management

Approval Process

Our proven investment approval process is based on both a quantitative and qualitative analysis.

Quantitative Analysis

We analyse strenghts and weaknesses of any transaction by reviewing all aspects of each securitization: due diligence on asset manager, investment portfolio, securitization structure and waterfall, relative value analysis and benchmarking.

Distribution of default rates and loss costs, as well as timing, are definded and tested by proprietary and market data.

Parameter sensitivities are used to check the robustness of the structure and to identify potential risks. 

Where appropriate, correlation and stress scenarios are implemented and tested, often with the use of a «Monte Carlo» simulation where we run scenarios to verify the risk/reward profile.

Risk Management and Reporting

Dedicated risk management tools and processes ensure a high quality of investments.

Risk Management
  • Ongoing review process throughout the life of the transaction
  • Single asset concentration review
  • Credit risk and portfolio adjustments
Monitoring
  • Quarterly portfolio review
  • Proprietary web-based risk analysis tool, with features such as overlap analysis, industry and country concentration monitoring
Reporting
  • Annual audited reports
  • Semi-annual reports
  • Monthly performance reports