| Determine loan loss reserves
through a quantitative model forecast rather than
historical information |
There is significant cost and risk of default
and foreclosures given the current environment
with sub prime loans |
Provide a proactive vs. reactive approach to managing credit risk
Promote the use of external
and independent models to predict delinquency,
foreclosure and prepayments |
Developed a credit loan loss model for banks by modeling complex cash flows for Hybrid ARMs, Payment Option ARM’s and other complex product types |
Modeling loan cashflows has become difficult with the emergence of different products with a variety
of cash flow profiles (e.g., payment option and
hybrid ARM products)
Provide reporting capabilities to dissect loan
losses via critical dimensions such as FICO, LTV and Geography for executive/regulatory
reporting
Identify high risk loans and use a combination
of forbearance, loan modification or deferment
to proactively manage risk
|
Regulatory risk is
high as
OTS
continues to monitor bank capital reserves due
to the recent failures of sub prime mortgage banks |
Use forward looking rates
curves and HPI indices with appropriate shocks
to evaluate the overall loss
risk spectrum |
For a regional bank, provided a flexible reporting
package to “mine” the data through key dimensions
and the creation of an executive dashboard |
| Modifying 'at risk' loans in an efficient and
effective manner toward of potential credit losses
|
Loss associated with foreclosures |
Identify series of potential loan modification
options
Work with client to develop procedures for enacting
modifications in a manner consistent with governing
securitization documents
Implement processes and technologies to enable
new procedures |
Work with banks to develop processes and technologies
around minor and major modifications of loans
and the resulting accounting for them |
Pricing/Valuation(Fair Value Services)