Mortgage — Valuations & reserving
Milliman’s mortgage insurance and lender loan loss reserving framework leverages our unique combination of independence and depth of industry expertise to tailor custom models designed from either proprietary or industry data sources. Our models estimate the potential frequency and loss given default of mortgage loans from origination to their final termination.
Advantages of Milliman’s modelling framework include:
- Responsiveness to changes in macro-economic conditions
- Custom model training to client data and servicing history if available
- Loan performance segmentation analysis for borrower, credit, product, geography and age of portfolio
- Transparency of approach with complete model documentation and validation
The marriage of mortgage insurance and mortgage lending experience developed over the past 20 years and leading modelling techniques have yielded among the most auditor-respected modelling approaches in the industry. Clients leverage Milliman’s loan loss reserving framework for:
- Benchmarking and validation of internal processes and modelling methodology
- Delinquent portfolio valuation, loss reserving and risk management
- Appointed actuary responsibilities for mono-line mortgage and financial guarantors
- IRS dispute defense
Milliman’s extensive experience in consulting to the mortgage insurance industry yields unique perspective in reserve estimation. The Milliman framework examines a variety of methods to arrive at a best estimate of future delinquency related losses in consideration of a company’s definition of reserveable occurrence.
Related services
Mortgage consulting
Our team is dedicated to analysing mortgage and credit risk, specialising in statistical, actuarial, and econometric risk-assessment techniques.
Mortgage compliance
Milliman assists clients with compliance-related analytics for both fair lending and quality control reviews.
Mortgage feasibility studies
We combine actuarial and modelling expertise with capital markets structure analysis to deliver meaningful financial feasibility studies.
Mortgage government services
We specialise in building customised and cost-effective solutions to measure and manage the risks associated with originating credit risk.
Connect with Milliman experts
Kenneth Bjurstrom
Ken Bjurstrom is a principal with the Milwaukee office of Milliman and joined the firm in 1998. He manages a practice dedicated to analyzing the financial risks associated with issuing and servicing mortgages, mortgage guaranty insuran...
Michael Schmitz
Mike Schmitz is a principal and consulting actuary in the Milwaukee office of Milliman. He has been with the firm since 1993. Mike manages a practice dedicated to financial risks such as mortgage guaranty, financial guaranty, and credi...