Free 5-day email course

Mortgage Credit Risk Modeling: 5 Core Ideas

Read any mortgage default number critically and screen scorecard predictors the way a validator expects.

For analysts and modelers who work with mortgage credit risk and want to do it properly. Over five days, each email covers one idea using real Freddie Mac loan-level data: what counts as credit risk, PD, LGD and EAD, competing risks, vintage and seasoning, and weight of evidence with information value.

Get lesson 1 now

For mortgage credit risk analysts and modelers.

Free. 5 emails, one a day. Unsubscribe in one click. See our Privacy Policy.

What you will get

  1. 1

    Day 1

    What mortgage credit risk is, what it is not, and why it moves slowly

  2. 2

    Day 2

    PD, LGD, EAD and why multiplying them can understate loss

  3. 3

    Day 3

    Competing risks: how prepayment biases naive PD downward

  4. 4

    Day 4

    Vintage and seasoning: the two time axes of mortgage risk

  5. 5

    Day 5

    Weight of evidence and information value for scorecard predictors

The lessons are drawn from the full course, Mortgage Credit Risk Modeling with R.