Good Models, Bad Scenarios? Delinquency, Forbearance, and COVID

August 12th | 1:00 p.m. EDT

Business-as-usual macroeconomic scenarios that seemed sensible a few months ago are now obviously incorrect. Off-the-shelf models likely need enhancements. How can institutions adapt? 

Credit modelers don’t need to predict the future. They just need to forecast how borrowers are likely to respond to changing economic conditions. This requires robust datasets and insightful scenario building.

Let our panel of experts walk you through how they approach scenario building, including:

  • How mortgage delinquencies have traditionally tracked unemployment and how these assumptions may need to be altered when unemployment is concentrated in non-homeowning population segments.
  • The likely impacts of home purchases and HPI on credit performance.
  • Techniques for translating macroeconomic scenarios into prepayment and default vectors.


Your Speakers

Shelley Klein, VP of Loss Forecast and Allowance, Fannie Mae

Shelley Klein

Janet Jozwik, Managing Director, RiskSpan

Suhrud Dagli, Co-founder and CIO, RiskSpan


Michael Neal, Senior Research Associate, The Urban Institute

Michael Neal