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The Journal of Structured Finance

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Building a Credit Model Using
GSE Loan-Level Data

Scott Anderson and Janet Jozwik
The Journal of Structured Finance Spring 2014, 20 (1) 19-36; DOI: https://doi.org/10.3905/jsf.2014.20.1.019
Scott Anderson
is a managing director at RiskSpan, Inc., in Vienna, VA.
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  • For correspondence: sanderson@riskspan.com
Janet Jozwik
is a senior consultant at RiskSpan, Inc., in Vienna, VA.
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  • For correspondence: jjozwik@riskspan.com
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Abstract

This article outlines an approach for developing a loan-level model to predict the probability and timing of credit events that trigger investor losses in Fannie Mae and Freddie Mac’s recent credit risk transfer (CRT) transactions. The authors begin with background on why the government-sponsored enterprises (GSEs) released loan-level data and how this disclosure is different from their previous data disclosures. They compare the credit event, as defined in the GSEs’ CRT transactions, to other measures of credit performance and discuss the relevant population of data records to include in a development dataset. They show how a simple model based only on a limited set of loan characteristics can help explain variation in credit performance, and finally, they show how the inclusion of variables that capture the macroeconomic and credit-underwriting environment can improve the model fit over time and across different origination. The authors believe that this type of model can be used for evaluating the recent and future CRT transactions issued by the GSEs.

TOPICS: MBS and residential mortgage loans, legal/regulatory/public policy, credit risk management

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The Journal of Structured Finance: 20 (1)
The Journal of Structured Finance
Vol. 20, Issue 1
Spring 2014
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Building a Credit Model Using
GSE Loan-Level Data
Scott Anderson, Janet Jozwik
The Journal of Structured Finance Apr 2014, 20 (1) 19-36; DOI: 10.3905/jsf.2014.20.1.019

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Building a Credit Model Using
GSE Loan-Level Data
Scott Anderson, Janet Jozwik
The Journal of Structured Finance Apr 2014, 20 (1) 19-36; DOI: 10.3905/jsf.2014.20.1.019
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  • Article
    • Abstract
    • BACKGROUND
    • WHAT IS THE APPROPRIATE METRIC TO MEASURE CREDIT RISK?
    • WHAT IS THE APPROPRIATE POPULATION OF LOANS TO CONSIDER?
    • BUILDING A MODEL: BIVARIATE ANALYSIS OF LOAN CHARACTERISTICS
    • MODEL RESULTS
    • MACROECONOMIC INDICATORS
    • CORRECTING FOR VINTAGE PERFORMANCE DIFFERENCE
    • CONCLUSION
    • ENDNOTES
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  • PDF (Subscribers Only)

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