Quantitative Research and Modeling

Quantitative Modeling

Our Quant’s Focus

Our team of Quants focus on model development and research spanning advanced mathematics, statistics, machine learning and artificial intelligence.

Risk management is the main driver behind our innovations and research is focused on explainability, ergodic theory, optimization, quantum mechanics, and risk management.

Mathematics is the core foundation of quantitative finance and solves complex problems. Mathematics helps Agora solve fairly complex problems in a structured and logical manner.
Statistics is the application of data, math, and theory to solve business problems. It allows Agora to determine meaningful relationships within the data, which results in sound and repeatable decision-making.

Machine learning is a subset of statistics that uses equations and methods to process larger sets of data in search of relationships within them.

Machine learning helps Agora in both the final models and the model development process, such as variable selection.

Artificial Intelligence (AI) automates more complex tasks and often utilizes other methods, such as machine learning, statistics, or mathematics, to make decisions.

Agora uses AI to help make decisions where large amounts of data are present and are too time-consuming for a human to do so manually. All final AI work is also reviewed by a human to ensure quality and explainability in the final results.

Risk management is the process of identifying, assessing, decision-making, and monitoring potential risks.

At Agora, models and quantitative analysis are one approach to risk management, as they provide transparency and explainability to even complex problems.

Modeling as a Service

Agora offers models as a service which are the same models used internally. All models are reviewed for accuracy, robustness, and explainability.

The data set used for model development is over $350 billion in loan principal balance and has vintages from 2001 to present day allowing for a range of macroeconomic conditions.

Our Model Outputs

Loan-Level Cash

Loan-Level Cash

Cash flow predictions allow Agora to predict cash flows across a loan's life. This information is used for discounting and determining the present value of each loan.

Macroeconomic Interest Rates

Macroeconomic Interest Rates

Individual rates are modeled along with the yield curve to understand where interest rates are headed, which impacts loan decisions and customer behavior.

Principal

Principal

Principal balances are used to compute fees, and the accuracy of these predictions helps loan originators and Agora make loan decisions quickly.

Balances

Balances

Loan balances, especially in an aggregated portfolio view, help loan originators make decisions about how to better manage risk within their portfolios.

Loss Given Default

Loss Given Default

Loss Given Default provides an expected percentage of a defaulted loan balance that will be lost. It is used in managing loan-level risk.

Exposure at Default

Exposure at Default

Exposure at Default provides a view of the risk management framework of how large the balance could be if a customer defaults on a loan.

Probability of Default

Probability of Default

Probability of Default provides a consumer risk view of default. Used to rank order risk and predict losses for loan originators and Agora.

Fraud

Fraud

The fraud model predicts loan-level fraud, which protects consumers, loan originators, and Agora.

Cutting-Edge Reporting

Agora’s proprietary reporting portal utilizes Generative AI and Machine Learning to provide lenders with cutting-edge analysis and data. Agora can customize and meet the needs of any originator or lender.

Agora produces both loan level and portfolio level underwriting with scalpel-like accuracy while maintaining a holistic view of risk.

Cash Performance Graph

Meet our Head of Quantitative Research

Our experienced team includes economists, PhD’s in mathematics, starting and operating successful subprime auto finance companies, running franchise and independent auto dealer groups, successfully securitizing billions in the capital markets, purchasing billions on the auto loan secondary market, managing private equity companies, managing data science teams, leading risk management teams, managing call centers, founding national trade associations, and much more. Our Quants are able to access and utilize those experiences.
DimitriBianco-quant

Dimitri Bianco

Quantitative Risk and Research

Learn More From Our Head of Quantitative Research

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© 2024, Agora Data, Inc. All rights reserved. Disclaimer: Terms contained herein are indicative and solely for discussion purposes. This does not present many of the required material terms and conditions. Timing and amount of additional loan profit, (if any) are not guaranteed. In addition, the terms, conditions, costs and effectiveness of any transaction will be subject to, among other things, market conditions, satisfactory due diligence, business and credit approval, all as determined at Agora’s sole discretion.

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