ZM Financial Systems (ZMFS) recently received third-party model certification validation for its flagship product, ZMdesk™ (Version 4.70). Certified by ALM First Analytics, LLC, ZMdesk users “can have confidence that the fundamental calculations and operational capabilities of ZMdesk are accurate and the modeling theory is sound.”

In attestation of model validity, this most recent validation focused on base cash flow projections; curve development; stochastics, loan servicing, credit and prepayment penalty modeling; the ZMUTP Prepayment Model; deposit modeling, and derivative modeling. The full scope of the validation for ZMdesk includes:

  • Valuation and income simulations
  • Ability to model various scenarios and sensitivity analyses
    • Interest rate scenarios
    • Shape of yield curve
    • Shape of forward rates
    • Level of spreads
    • Level of prepayment and decay rates
    • Level of rate responsiveness
    • Level of default and severity
  • Credit risk modeling
  • Deposit modeling
  • Derivative modeling
  • Mortgage servicing rights modeling
  • Deterministic and stochastic modeling
  • Proprietary first lien residential mortgage modeling
  • Third-party data licensing to retrieve security detail and cash flows
  • Standardized and custom model result reporting

After reviewing technical aspects, ALM First followed rigorous testing using proprietary financial models to replicate results under several scenarios with underlying assumptions. ALM First concluded “After reviewing ZM Financial Systems’ ZMdesk version 4.7 software, ALM First submits ZM accurately produces results and model estimates are in-line with expectation.”