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Category: Reports

Open Source and Mortgage Data Modeling

white paper

Open Source and Mortgage Data Modeling

Open source software is growing in popularity, but incorporating it into your organization can be daunting. Professionals are eager to apply it to their mortgage data analysis processes and reap its benefits, but are wary of its risks.

In this white paper, we share:

  • The benefits of open source that make it so popular
  • The risks inherent in open source and how to mitigate them
  • The application of open source to mortgage data analysis, including real examples from our own work


Calculating Value at Risk — A Review of Methods

white paper

Calculating Value at Risk — A Review of Methods

Our white paper explains why a full revaluation method of calculating value at risk (VaR) is the preferred approach for both banks reporting VaR under Market Risk Rule and hedge funds using VaR to report a unified risk measure to clients.



Imputation and Analysis with Machine Learning

white paper

Imputation and Analysis with Machine Learning

Despite industry-wide efforts to incorporate robust quality control programs, challenges with mortgage data persist. Fortunately, combining machine learning with cloud computing shows promise in addressing mortgage data gaps and producing more accurate results than traditional approaches. 

This white paper introduces two methods to impute missing values and understand the relationships between various features of a residential loan database.



FHFA 3Q2019 Prepayment Monitoring Report

FHFA’s 2014 Strategic Plan for the Conservatorships of Fannie Mae and Freddie Mac includes the goal of improving the overall liquidity of Fannie Mae’s and Freddie Mac’s (the Enterprises) securities through the development of a common mortgage-backed security. This report provides insight into how FHFA monitors the consistency of prepayment rates across cohorts of the Enterprises’ TBA-eligible MBS.

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FHFA 2Q2019 Prepayment Monitoring Report

FHFA’s 2014 Strategic Plan for the Conservatorships of Fannie Mae and Freddie Mac includes the goal of improving the overall liquidity of Fannie Mae’s and Freddie Mac’s (the Enterprises) securities through the development of a common mortgage-backed security. This report provides insight into how FHFA monitors the consistency of prepayment rates across cohorts of the Enterprises’ TBA-eligible MBS.

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FHFA 1Q2019 Prepayment Monitoring Report

FHFA’s 2014 Strategic Plan for the Conservatorships of Fannie Mae and Freddie Mac includes the goal of improving the overall liquidity of Fannie Mae’s and Freddie Mac’s (the Enterprises) securities through the development of a common mortgage-backed security.

This report provides insight into how FHFA monitors the consistency of prepayment rates across cohorts of the Enterprises’ TBA-eligible MBS.

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RiskSpan Director David Andrukonis Featured on The Purposeful Banker Podcast

RiskSpan’s CECL Soution Director David Andrukonis was a featured guest on PrecisionLender’s podcast, The Purposeful Banker in their recent episode titled “Is your Bank Ready for CECL”

David summarized the major takeaways from a recent CECL conference, including regulator signals of forthcoming capital relief and emerging practices around reasonable and supportable forecast period length (16:19); outlined how RiskSpan is helping banks prepare for the new accounting standard (3:47); and offered ways that banks can stay current on continuing CECL developments (23:42).

You can listen to the entire episode of the podcast on their SoundCloud account:

 


   

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