UNDERSTANDING AND MANAGING THE RISK OF MORTGAGE LOANS – a practical approach –

UNDERSTANDING AND MANAGING THE RISK OF MORTGAGE LOANS – a practical approach –

    NOU

OBJECTIVES

This course aims to provide a state-of-the-art view on risk management of mortgage loans for banks, financial institutions, real-estate companies, insurance companies, hedge-funds and regulatory bodies.

CONTENTS

  1. A CRASH COURSE ON MORTGAGE CONTRACT HISTORY GLOBALLY
  • Mortgage Loans in the US
  • Agency Loans
  • Mortgage Loans in Europe
  • Covered Bonds
  • Credit risk and mortgages, prime versus subprime
  • Residential versus Commercial Mortgages
  • New Mortgage Product Innovation

Case Study: Discuss the risks associated with mortgages when the lending bank collapses in the US and in Europe

  1. MORTGAGE CALCULUS
  • Deriving mortgage cash-flow payments
  • Separating interest and principal payments
  • The impact of interest rates on mortgages
  • Calculating Duration and Convexity for interest and principal cash-flow streams

Case Study: Comparing different mortgage offers with different maturities and coupon rates.

  1. PREDICTOR VARIABLES FOR PREPAYMENT AND DEFAULT IN MORTGAGES
  • Predictors for Prepayments (burnout effect, vintage effect, refinancing incentive)
  • Predictors for Defaults (willingness to pay, ability to pay,arrears)
  • Using credit scoring for signalling default
  • Value of collateral
  • Real-estate indices evolution and characteristics
  • Forwards, Futures and Total Return Swaps

Case Study: Directional Trading using Standard Property Derivatives

  1. PREPAYMENT AND DEFAULT MODELS FOR MORTGAGE PORTFOLIO RISK MANAGEMENT
  • PSA calculations
  • The arctan model, Chinloy model
  • Schwarz-Torous Model
  • Richard and Roll Goldman Sachs Models
  • Shiller mortgage default model
  • Logistic regression models
  • New Generation Models

Case Study: Calculate prepayment/default rates (multi-period) for a generic mortgage portfolio

 Q&A SESSION

TARGET GROUP

Finance and banking professionals working in: lending, risk management, underwriting, restructuring, compliance, audit, IT, etc, as well as central banking specialists and regulators’ representatives. The seminar is also very beneficial for: real estate consultants, valuation and appraisal professionals, investment property experts, development projects specialists, mortgage brokers, etc.

Prerequisites: Participants are expected to have experience with Excel (a beginner experience with Matlab is desirable, but not necessary), and to be familiar with basic concepts in Probability and Statistics, and standard concepts in Financial Markets.

LECTURER

Professor RADU TUNARU has been working in International Finance since 2000 and he specialises in Structured Finance (credit risk), Financial Markets and Risk Management, Real Estate Finance and Model Risk. His background is in Statistical Modelling and Risk Management and he has done consultancy and executive training for investment banks, exchanges, hedge-funds, training companies. His career includes working for BANK OF MONTREAL and for MERRILL LYNCH where he was a vice-president in Structured Finance EMEA RMBS. At Merrill Lynch he was in the team looking after the analytics for the securitization deals, part of the negotiation teams with rating agencies, managing hedging programmes associated with mortgage products. He is currently head of Finance group in KENT BUSINESS SCHOOL and Director of Centre for Quantitative Finance Research (CEQUFIN). He is the author of Real-Estate Derivatives published in 2017 by OXFORD UNIVERSITY PRESS. He has received six best paper awards so far and his latest work includes three papers on real-estate derivatives with Nobel laureate in Economics ROBERT SHILLER. His latest research is in risk management and real-estate derivatives.

COURSE DATE

September 12, 2018, from 9 am to 5 pm

At the end of the course, participants will receive a certificate, issued by RBI (under the aegis of founding members NBR and RBA), with 7 CPD units.

LANGUAGE

English/Romanian, depending on the structure of the audience

CONTACT: 

Mihaela Radu, Training Specialist

0748 886 807, mihaela.radu@ibr-rbi.ro