Open Tech Calendar

Speaker 1: Dr. Raffaella Calabrese
Affiliation: University of Edinburgh Business School
Title: A mortgage scoring model with spatial contagion
Abstract: Due to the spatial dependence of house price, mortgage scoring models often display spatial dependence but the vast majority of the models used in the literature assume that mortgage defaults are independent. Only recently Zhu and Pace (2014) find that allowing spatial dependence greatly improved the predictive accuracy of mortgage scoring model.
The main drawback of the model used by Zhu and Pace is that it is built under the assumption that the number of defaulted and non-defaulted mortgages is almost the same. To overcome this drawback, we propose a spatial regression model for imbalanced binary data sets. We apply the proposed spatial model to a large data set (almost 80,000 observations) from Las Vegas in Nevada.

Speaker 2: Vijay Krishnaswamy
Affiliation: True North Partners LLP, a specialist consulting boutique
Title: Model risk in unusual corners: the case of home price indices
Abstract: This talk will cover the role of models in indices, using the example of home price indices. Such indices play a key role in the financial markets for mortgages and are widely used by banks. The objective of this talk is to create better awareness of the model risk that can arise from the use of home price indices.

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