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ValueScout uses a patent-pending combination of analytical tools to provide the most effective means of predicting loan performance. ValueScout creates statistical models for mortgages based on historic borrower behavior data, loan information, and macroeconomic data. The model predicts likelihood of behaviors and estimates cash flows to derive loan pool valuation.
ValueScout analyzes the consumer and probes why certain behaviors occur through the use of probability scenarios. These scenarios are then arranged into a "two person" game table, weighing the consumer behaviors against expected outcomes of various business decisions. Predictions of outcomes and their confidence level are displayed graphically along with relevant business data such as ROI, NVP, and default probability to assist with the decision process.
Two principles
The tool uses two principles in predictive analysis:
- Past (a posteriori) information to establish the frequency or likelihood of default and prepayment events and to establish the utility of each event;
- Game theory to establish the likely strategies agents will take during default and prepayment events, strategies that will minimize the expected average loss over a sequence of repeated events. The user will have the ability to adjust the model by adding their assumptions about future macro-economic events.
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