RMBS Historical Collateral Performance
Context:
- Trend analysis for different attributes and see if any of the attributes has changed dramatically over the given time frame.
Approach:
- Extract the historical data from Loan performance database and Analyze trends of various loan performance attributes like LTV, CLTV ,HPA, FCLS, REO, FICO, REFI etc.
- Historical Roll rate analysis for Prepayments, Default and Loss Severity to see possible roll rate for loan pool
Issues:
- Data inconsistency
- Vague output due to Data anomalies
Result:
- Actual behavioral output of the loan performance attributes with minimal possible errors
- Increase in efficiency and proactive decision making
- Critical Input for the various loan performance and analysis models