CoreLogic® Releases RiskModel™ Version 4.4
Email Dan Smith
August 01, 2011, SANTA ANA, Calif. –
CoreLogic (NYSE: CLGX), a leading provider of information, analytics and business services, today announced the availability of RiskModel Version 4.4, an analytics application that forecasts future mortgage prepayments, defaults, losses and cash flows at both the loan and portfolio level.
This latest version integrates the CoreLogic Home Price Index (HPI) with new transition and loss-given-default models for alt-A first and second-lien mortgages allowing more than 75 percent of the loans in the development dataset to be estimated at the zip-code level. These additions significantly improve the predictive performance of the RiskModel due to its enhanced geographic granularity and product risk differentiation, particularly for negative amortizing products. An innovative Refinance Qualification Index has also been developed to better predict prepayment sensitivity given a borrower’s current equity and original credit profile relative to today’s tighter underwriting guidelines. Similarly, more sophisticated “age curves” enable the RiskModel to better capture the effect of “credit burnout” relative to seasoned loans which continue to perform despite the presence of negative equity.
Covering more than 200 core based statistical areas (CBSAs), the new CoreLogic HPI Simulator enables a stochastic approach to addressing future housing price uncertainty which remains a key driver for predicting default. This is achieved by capturing the cyclical nature of housing markets and the dynamics of house price movements reflecting average appreciation rates and variances, as well as market cycle duration.
“With more than $569 billion in alt-A loans and securities still outstanding, many will need to be refinanced or modified over the next several years,” said Ben Graboske, senior vice president, product and technology, for CoreLogic. “These new models with the inclusion of the most robust CoreLogic HPI data available will help holders of mortgage risk and servicers make more precise decisions.”
Graboske added, “This version of the RiskModel marks the first phase in a plan that ultimately will incorporate CoreLogic HPI data in all analytics delivered by the RiskModel.”
Drawing on the mortgage industry’s most comprehensive database of more than 70 million active and historical prime and subprime loans representing 97 percent of active non-agency mortgage backed securities, RiskModel 4.4 employs state of the art predictive modeling as the only commercially available model that simultaneously considers credit and prepayment risk. Key analytical capabilities include built-in Monte Carlo simulators of interest rates and home prices that are user modifiable, “dials” to calibrate the model to unique aspects of a client’s portfolio and market conditions, the ability to track loan transitions through eight payment statuses of delinquency and default, and an application programming interface (API) that can be embedded in mortgage pricing and trading systems to analyze huge volumes of bonds and other securities.
More information about RiskModel 4.4 can be found at: www.corelogic.com/capitalmarkets
CoreLogic (NYSE: CLGX) is a leading provider of consumer, financial and property information, analytics and services to business and government. The company combines public, contributory and proprietary data to develop predictive decision analytics and provide business services that bring dynamic insight and transparency to the markets it serves. CoreLogic has built the largest and most comprehensive U.S. real estate, mortgage application, fraud, and loan performance databases and is a recognized leading provider of mortgage and automotive credit reporting, property tax, valuation, flood determination, and geospatial analytics and services. More than one million users rely on CoreLogic to assess risk, support underwriting, investment and marketing decisions, prevent fraud, and improve business performance in their daily operations. The company, headquartered in Santa Ana, Calif., has more than 10,000 employees globally with 2010 revenues of $1.6 billion. For more information visit www.corelogic.com.
CoreLogic is a registered trademark of CoreLogic.