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Article

Latest Developments in Mortgage Analytics
for Investors

Raj Dosaj, Michael Bradley, Dan Abraham, Ron D’Vari and Brian Grow
The Journal of Structured Finance Winter 2013, 18 (4) 134-165; DOI: https://doi.org/10.3905/jsf.2013.18.4.134
Raj Dosaj
is a vice president at Lender Processing Services in San Francisco, CA.
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  • For correspondence: raj.dosaj@lpsvcs.com
Michael Bradley
is a senior vice president in the Decision Analytics and Research Team at CoreLogic.
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  • For correspondence: mbradley@corelogic.com
Dan Abraham
is director, product management at Lewtan.
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  • For correspondence: dan.abraham@lewtan.com
Ron D’Vari
is CEO and co-founder of NewOak Capital LLC.
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  • For correspondence: rdvari@newoakcapital.com
Brian Grow
is a managing director in RMBS, Morningstar Credit Ratings, LLC.
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  • For correspondence: brian.grow@morningstar.com
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Abstract

Raj Dosaj explained various factors that contribute to the accuracy of home price indexes, such as geo-granularity, attributes of the McDash database, and the Lender Processing Services (LPS) Credit Bureau Module. Michael Bradley explained a set of disposition models developed by CoreLogic that estimate distressed sale values at various stages of the liquidation process that he believes are more accurate, less expensive, and can be obtained more quickly than broker price opinion (BPO) valuations. Dan Abraham discussed the use of Lewtan’s address-specific rental automated valuation models (AVMs) and how those models are reflected in statistics at the neighborhood and ZIP Code levels. Ron D’Vari discussed challenges with loan-level models for U.S. RMBS (residential mortgage-backed securities), including too many parameters and not enough time to validate interdependencies and the dominance of macro factors, such as interest rates and HPIs (house price indexes), and how risk-based cohorting provides a solution to incorporate loan-level performance. Brian Grow explained Morningstar’s approach to rating structured securities, in which issuers pay for initial ratings, investors pay for surveillance, a proprietary loan-level credit model is used, and all rated securities are re-rated monthly.

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The Journal of Structured Finance: 18 (4)
The Journal of Structured Finance
Vol. 18, Issue 4
Winter 2013
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Latest Developments in Mortgage Analytics
for Investors
Raj Dosaj, Michael Bradley, Dan Abraham, Ron D’Vari, Brian Grow
The Journal of Structured Finance Jan 2013, 18 (4) 134-165; DOI: 10.3905/jsf.2013.18.4.134

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Latest Developments in Mortgage Analytics
for Investors
Raj Dosaj, Michael Bradley, Dan Abraham, Ron D’Vari, Brian Grow
The Journal of Structured Finance Jan 2013, 18 (4) 134-165; DOI: 10.3905/jsf.2013.18.4.134
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