Call For Papers
One-Day Symposium: Improving Assessment of the Default Risk of Single-Family Mortgages
Jointly Organized by the Federal Deposit Insurance Corporation’s Center for Financial Research and the Federal Housing Finance Agency
The FDIC’s Center for Financial Research and the Federal Housing Finance Agency (FHFA) invite submissions for a one-day symposium on “Improving Assessment of the Default Risk of Single-Family Mortgages” to be held in Arlington, VA, on Wednesday September 16, 2009.
The performance of single-family mortgages in the U.S. has deteriorated sharply since mid-2005, revealing weaknesses in exiting methods for predicting mortgage defaults and estimating default loss severities. Events have shown there is need for improvement in the data and models used to assess single-family mortgage default risk and in the processes and controls surrounding models used in the mortgage lending process. This symposium will provide a forum to discuss the causes of recent experience and ways to improve the assessment of single-family mortgages default risk, as well as policy issues raised by the use of automated underwriting systems and mortgage scoring in the lending process. The program committee encourages the submission of papers on topics such as the following:
Default risk assessment
Definition of default
Historical data series used to estimate single-family mortgage default risk
Approaches to estimation of the default risk of different types of loan products
Why models missed the recent deterioration in performance
Models of house price dynamics and their role in default risk estimation
Variation of mortgage default risk by house price tier
Challenges of model validation
Single-family mortgage default risk and fraud
Use of default risk assessments in mortgage lending and servicing decisions
Effect of government mortgage support programs on mortgage default rates
Estimation of default loss severity
Approaches to estimation of mortgage default loss severity
House prices and mortgage default loss severity
Modifications of delinquent/defaulted/at-risk mortgages
Pros and cons of alternative approaches to modifying mortgage loans
Effects of loan modifications on mortgage default loss severity
Behavior of modified mortgage loans
Estimation of the "re-default" risk of modified mortgages
Technology and single-family mortgage lending
Historical performance of scoring technology in underwriting and servicing single-family mortgages
Use of scoring technology to evaluate the default risk of non-traditional mortgages
Effects of the use of automated underwriting systems on the performance of single-family mortgages
Policy issues
Provisioning for loan losses on single-family mortgages
Potential effects on default rates of requiring lenders to retain an interest in single-family mortgages they originate that are securitized
Uses of models of single-family mortgage default in the lending process
Ways to improve processes and technologies used to evaluate single-family mortgage default risk
Approaches to standardizing the measurement of single-family mortgage default risk
Potential effects of such standardization on the safety and soundness of financial institutions and innovations in risk measurement and management
Section 1602 of the Housing and Economic Recovery Act of 2008 (HERA) requires FHFA to conduct a study of "ways to improve the overall default risk evaluation used with respect to residential mortgage loans..." and to focus "particular attenti... [on] the development and utilization of processes and technologies that provide a means to standardize the measurement of risk." FHFA intends to publish the papers presented at, and the proceedings of, the symposium in fulfillment of this statutory requirement. No submitted paper will be quoted or used without permission of the author.
Paper Submission Procedure:
Papers will be selected for presentation based on reviews by the organizing committee. Expenses for travel, food, and lodging will be reimbursed for paper presenters. Papers must be submitted for consideration by June 30, 2009. Authors will be notified about the status of their papers by July 31, 2009.
Please submit papers as "pdf" attachments to an e-mail sent to:
MortgagePapers@fdic.gov
Please name the file 'Your last name.pdf." For more information, contact:
Contact: Paul Kupiec
Tel.: (202) 898-6768
Email:pkupiec@fdic.gov
Contact: Robin S. Seiler, Jr.
Tel.: (202) 414-3785
Email:Robin.Seiler@fhfa.gov
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