RMBS 2.0: Next generation mortgage risk analytics
The US subprime crisis has revealed great shortcomings in the analysis of residential mortgage credit risk. In Europe, RMBS issuance is also substantially down compared to pre-crisis levels even though the fundamental credit performance of prime RMBS has been solid throughout. Central banks and policy makers have noted that well functioning securitization markets are important for the supply of credit to households and the real economy and vital for economic growth.
New regulation and transparency initiatives have provided investors with much improved disclosure such as the loan level data published by the European Datawarehouse™, but at the same time have increased the burden on originators and investors to use ABS.
On this page we will comment on new developments in RMBS analytics, explore the value of loan level data and report on our in-depth analysis of US and European RMBS loan pools. OSIS has developed a suite of micro and macro models for mortgage default, prepayment and loss including multinomial logistic regressions, stochastic Markov Chains, structural dual trigger models and Bayesian Vector Auto-Regressions.