Topic:
QOB
Time-on-Book Is Pyrite
There is no seasoning curve. There’s only 2009. Time-on-Book is a vacuous risk factor. Default humps are simply systemic events hitting whatever vintage ages happen to be on the book, not a law of loan age. We use public Fannie Mae data to make the point.… Continue Reading
Credit Regimes, Risk Management, and the Value of Stress Testing
In loss forecasts, especially stress tests, banks estimate what they could lose, but most stop there. Credit losses exist in regimes — long stretches of nothing punctuated by sharp, severe transitions — and the only value of stress testing is deciding what to do before the shift happens. Most banks … Continue Reading
SR 26-2 to SR 11-7 Mapping: From 21 ‘Sound Practices’ to 179 ‘Shoulds’
The revised MRM guidance (SR 26-2) replaced 179 “should” statements with 21 “sound practice” statements. We built the complete SR 26-2 to SR 11-7 mapping. Free spreadsheet download.… Continue Reading