PT  - JOURNAL ARTICLE
AU  - Scott Anderson
AU  - Janet Jozwik
TI  - Building a Credit Model Using<br/>GSE Loan-Level Data
AID  - 10.3905/jsf.2014.20.1.019
DP  - 2014 Apr 30
TA  - The Journal of Structured Finance
PG  - 19--36
VI  - 20
IP  - 1
4099  - https://pm-research.com/content/20/1/19.short
4100  - https://pm-research.com/content/20/1/19.full
AB  - 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