RiskSpan Announces Version 2.0 Release of the RS Credit Model for Residential Mortgages

RiskSpan’s Residential Mortgage Credit Model has been updated to version 2.0, incorporating:

  • Updated loan performance data through 2015,
  • Improved modeling of delinquent loan cure rates, and
  • Expanded coverage to include second liens and agency loan types.

As before, the Model forecasts life-of-loan monthly cashflows and reflects macroeconomic effects, making it CECL-compliant. The forecast includes interest income, principal prepayment, defaulted principal, and losses. The Model satisfies the key requirements for CECL by:  

  • Considering macroeconomic factors, such as home price, unemployment, and interest rates,
  • Incorporating prepayment behavior, and
  • Providing life-of-loan results.

The model considers loan age, delinquency status, LTV, and other loan-level characteristics in estimating monthly probabilities of default and loss given default rates.

CLICK HERE to read more about RiskSpan's Residential Mortgage Credit Model.