Mortgage Analytics
The Collateral Analytics New Credit Risk Model
| Dr. Anthony Pennington-Cross*, Dr. Michael Sklarz** and Dr. Norman Miller***
Download a PDF file of this research paper here. Introduction The new credit risk model (CRM) recently developed by Collateral Analytics is designed to better predict mortgage performance for new and seasoned individual mortgages and pools of mortgages. The…
Mortgage Analytics
Residential Mortgage Default Forecasting: How Much Do Price Trends Matter? Part 2
| Collateral Editor
by Dr. Michael Sklarz*, Dr. Norman Miller** and Dr. Anthony Pennington-Cross*** | January 7, 2019 Download a PDF file of this research paper here. Introduction In early December of 2018 we published a discussion on the significant and…
Mortgage Analytics
Residential Mortgage Default Forecasting: How Much Do Price Trends Matter?
| Collateral Editor
by Dr. Michael Sklarz*, Dr. Norman Miller** and Anthony Pennington-Cross*** | December 4, 2018 Download a PDF file of this research paper here. Introduction Some housing market observers have noticed that higher priced homes, on average, are taking…
Mortgage Analytics
Adjusting Loan to Value (LTV) Ratios to Reflect Value Uncertainty
| Collateral Analytics
by Dr. Michael Sklarz and Dr. Norman Miller | August 1, 2016 Introduction It is becoming common when ordering appraisals on new loans or refi applications to also include an AVM (automated valuation model) as these are relatively inexpensive…
Mortgage Analytics
Why Housing Price Indices Are Super Tools Waiting to be More Fully Utilized: and How to Produce Them?*
| Collateral Analytics
by Michael Sklarz, Ph.D. and Norm Miller Ph.D. Abstract There are a variety of house price indices that are useful for the market. While large scale metro indices are most often discussed by…
Mortgage Analytics
Combatting Regional Concentrations of Credit Risk
| Collateral Analytics
How CA’s Credit Risk Model Can Help by Dr. James R. Follain and Dr. Michael Sklarz | Mar. 23, 2015 One of the important lessons of the recent house price bubble and bust cycle is the wide variation in the…
Mortgage Analytics
Credit Risk Spreads Among Metropolitan Areas Driven by Traits of the Local Economy and New CA House Price Scenarios
| Collateral Analytics
by Dr. James R. Follain and Dr. Michael Sklarz CA’s Credit Risk Model generates estimates of credit risk spreads on residential mortgage loans. These spreads measure the annualized cost of a potential default on the mortgage. The model is to…
Mortgage Analytics
CASE STUDY: CA Credit Risk Model for Seasoned Loans
| Collateral Analytics
by Dr. James R. Follain and Dr. Michael Sklarz Overview Collateral Analytics offers two types of Credit Risk Models (CRM). One focuses upon newly originated loans and generates various estimates of the credit risk associated with the future performance…
Mortgage Analytics
Combining AVM and Credit Risk Model Results
| Collateral Analytics
Collateral Analytics has developed a new information delivery system to help lenders prioritize the resources devoted to the appraisal process. This new system combines the results of our core AVM products with the results of CA’s new mortgage credit risk…
Mortgage Analytics
Measuring the Impact of Upwardly Biased Appraisals on Mortgage Credit Risk
| Collateral Analytics
by Dr. James R. Follain and Dr. Michael Sklarz There are numerous drivers of the credit risk associated residential mortgages. The two most important ones include the current loan to value ratio on the loan and the borrower’s initial credit…