Static Pool Analysis

Definition

Static Pool Analysis (Also Cohort or Vintage Analysis) is the risk analysis of a pool of risks linked to a specific time period (typically the time these risks first entered the portfolio / started being tracked).

Methodology

The analysis may examine any number of indicators such as delinquency rates, defaults, prepayments etc. The essence of the methodology is very simple, one simply tracks any of the desired performance / risk factors of the pool forward as function of time from origination

The reason the methodology is singled out is to differentiate from a running portfolio analysis where attributes refer to the current population of risks, irrespective of when these may have been originated.

Advantages

A static pool approach helps isolate possible factors that have absolute time characteristics, e.g., because they are linked to specifics of the internal and external environment when the portfolio was constructed / originated.

The methodology is particularly effective in exposing "ponzi"-like phenomena, where the better early performance of newer origination may mask the performance of older vintages