MIAC CORE ™ is a family of both voluntary and involuntary loan & MSR behavioral models. The CORE™ models have been built to measure the accurate conditional responses to the most significant economic macro factors: GDP, unemployment, HPI, CPI, and interest rates.
Voluntary and involuntary models exist for residential and commercial mortgages, auto loans, credit cards, unsecured consumer loans, and HELOCs.
Each of the CORE™ behavioral models are embedded within the MIAC Vision™ ALM and balance sheet simulation system. Loan level asset valuation, CECL (ALLL) modeling, and CCAR or DFAST stress test analysis can all be modeled by CORE™ within Vision™.
The models were developed using data on:
- 23 million non-agency loans with histories spanning from 1990 to present
- 50 million agency loans with histories spanning over the last 15 years
- 5 million auto loans with histories spanning over the past 12 years
Default and Loss Behavior Model Overview
To precisely forecast the frequency, timing, and severity of mortgage prepayments, delinquency and loss behavior, the CORE™ models are implemented with unparalleled granularity.
The five stages of the MIAC CORE™ behavioral model include:
- D30 Entry – Logistical regression model that determines the propensity to ever enter into a 30 day delinquency status
- Roll Rate Transitions – 40 stage matrix to migrate delinquent balances between the various default status possibilities
- Foreclosure to Cure – Distributes the FCL balances to appropriate delinquency bucket
- Foreclosure to REO – Distributes the FCL to REO recognition
- REO to Liquidation – Distributes the asset balance from REO entry to liquidation and final loss realization