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Moody's Mortgage Metrics |
Moody's Residential Mortgage-Backed Securities (RMBS) Group is the leading source of credit ratings and research for Jumbo and Alt-A MBS and Mortgage-Related ABS, including subprime, home equity and manufactured housing. Moody's Mortgage Metrics was developed by Moody's Investors Service and is being used by its Structured Finance analysts when rating primary issuance of mortgage-backed securities.
Moody's Mortgage Metrics is a model for predicting loss distributions for residential mortgage pools. The structural model is based on a series of loan-level econometric models which include prepayment, default and severity modules with each being designed to capture a specific component of loan behavior.
The new subprime Moody's Mortgage Metrics model incorporates significant enhancements such as more robust simulation capabilities, greater transparency into the impact of various economic scenarios (including the effect of HPA and U.S. unemployment on expected loss), explicit treatment of mortgage underwriting quality, and the ability to analyze portfolio tail risk at a more detailed level. The new model has been validated using data through the 2007 vintage to reflect the recent housing market dislocation.
Brochure - Moody's Mortgage Metrics
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