Author Topic: folio loan model prices  (Read 5469 times)

lctz

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folio loan model prices
« on: November 10, 2019, 09:28:47 PM »
I've developed a few models based on historical data to price folio loans.  I built different models for loans with different status. 
Loans that are current are priced based on historical default & prepayment behaviours and recent fico changes.  Late loans are priced based on potential recoveries and are highly uncertain. My model couldn't price 'In Grace Period' loans because lack of historical data.

I've set up automatic process to price all loans once every week.

You can download my model output here https://app.box.com/s/mtmeot4pxbdrznf3s6etw7gbjamvpro7

feedbacks are welcome.
« Last Edit: March 07, 2020, 10:34:22 PM by lctz »

mark78

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Re: folio loan model prices
« Reply #1 on: February 17, 2020, 07:11:10 PM »
This could be interesting if there were additional columns with key parameters. I would suggest interest rate, term, payments made, and credit trend (or change in fico since origination, if you database that).

rawraw

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Re: folio loan model prices
« Reply #2 on: February 20, 2020, 10:34:55 AM »
If  you want to trade on it, you'll need to do it more than once a day. Mispriced notes are bought quite quickly

lctz

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Re: folio loan model prices
« Reply #3 on: March 04, 2020, 02:00:39 PM »
This could be interesting if there were additional columns with key parameters. I would suggest interest rate, term, payments made, and credit trend (or change in fico since origination, if you database that).
I have considered term, age, credit score change etc. in my model.  I didn't put them out because the file would be too big and using loanid you can easily find all information from historical and recent data. 
I tested this model for a few months and made some improvements to it.  Comparing it with a simple filter model, the pricing model performs better.  Most of secondary market loans are overpriced; even for loans never late and has a asking price at discount of par.  I think one of the reason is that loans have higher change of default at mid-late ages than early age; thus investing a seasoned loan has higher chance of losing 100% comparing with fresh new loan.  Seasoned loans (>1yr) also have risk of prepayment; you'll lose 1% automatically to Lendingclub if the loan you purchased immediately prepay.
« Last Edit: March 04, 2020, 04:19:03 PM by lctz »

lctz

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Re: folio loan model prices
« Reply #4 on: March 04, 2020, 04:20:31 PM »
If  you want to trade on it, you'll need to do it more than once a day. Mispriced notes are bought quite quickly

Yes I do it more than once a day; I only save the result once to save disk space.