CORE™ Behavioral Models by MIAC Analytics provide sophisticated forecasting capabilities for financial institutions. These models predict the frequency, timing, and severity of losses and voluntary prepayments, dynamically adjusting based on macroeconomic scenarios such as mortgage rates, home prices, and unemployment. The suite includes Prepayment Models that capture complex, non-linear relationships and distinct behaviors across various asset types like Agency, Non-Agency, Government-Insured, and Non-QM loans. Explanatory factors such as refi-incentive, age, UPB, LTV, and geography are considered, along with specific components like rate/term refi, cashout, and housing turnover. Credit Frequency Models utilize an extensive set of over 30 borrower, loan, property, and macroeconomic factors to project delinquency and foreclosure forecasts, tracking detailed loan status from Current through REO. The Loss Severity Model, integrated with the Credit Frequency Model, projects total loss severity and its components (Property Loss, Taxes and Insurance, Maintenance, Legal) based on factors like State, Property Value, and Foreclosure Type. MIAC's Term Structure Models, including the BGM Model, offer advanced yield curve dynamics and volatility function specifications for accurate duration estimates. The CORE™ family undergoes regular internal and external validation, with technical documentation available to meet regulatory requirements. Outputs can be integrated with MIAC’s Vision™ and WinOAS™ applications for loan-level and aggregated analysis.

Features & Benefits

• Advanced Forecasting: Predicts loss frequency, timing, severity, and prepayment behavior based on macroeconomic scenarios.
• Comprehensive Asset Coverage: Supports a wide range of loan types including Agency, Non-Agency, Government-Insured, and Non-QM.
• Granular Behavioral Analysis: Captures distinct behaviors within sectors and products for more accurate predictions.
• Integrated Risk Management: Loss Severity Model is fully integrated with Credit Frequency Model for "what if" analysis.
• Regulatory Compliance: Technical documentation meets FRB SR 11-7, FHFA AB 2013-07, and other regulatory guidance.