Mortgage loan loss mitigation model development for a major Canadian bank
- Risk Management
A major consulting firm partnered with Prescio in an effort to develop a Mortgage Loan Loss Mitigation model for a major Canadian Bank.
The intent of the exercise was to determine ways to develop better alternatives to reduce losses from home foreclosure and, if needed, to maximize the REO value for all concerned stakeholders. The objective was to integrate and analyze market data from different vendors and develop a loss mitigation utility, through which delinquent mortgages could be passed to reduce losses and maximize value for all stakeholders. To that effect Prescio was the key member to receive, integrate, cleanse, analyze and distribute data and results to various groups of the development team.
Analyses were performed on several variables including House Price Index (HPI) for different Metropolitan Statistical Areas (MSA) and national HPIs, historical Probability of Default (PD), discretionary spending index (DSI), discretionary spending (dsdollar), age, ability to pay (ATP), Combined Loan to Value ratio (CLTV), income (Income360), and FICO / BEACON scores among others. The final utility was a net present value (NPV) calculator for different loan, property, and borrower behavioral and credit scenarios that could be used by the client to determine the best option(s) available to all stakeholders prior to or after foreclosure. This project was performed within a four week period under a strenuous environment in partnership with more than five vendor and development groups.