DM: Loan Prepayment Modeling pilot/paper

[Ronny Kohavi]

In a joint pilot project between Silicon Graphics' and Risk Monitors
Inc, we looked at Loan Prepayment Modeling.  


                    Loan Prepayment Modeling

             Afshin Goodarzi(1)     Ron Kohavi (2)
             Richard Harmon (1)     Aydin Senkut(2)

(1) Risk Monitors, Inc.
(2) Data Mining and Visualization, Silicon Graphics, Inc.


Loan level modeling of prepayment is an important aspect of hedging,
risk assessment, and retention efforts of the hundreds of companies in
the US that trade and initiate Mortgage Backed Securities (MBS). In
the pilot between Silicon Graphics Inc. and Risk Monitors Inc., we
used MineSet(TM) to look at different aspects of modeling customers 
who
have taken jumbo loans in the US. Using tools such as MineSet's Map
Visualizer, we show how refinancing costs differ across states and
counties. Using tools such as the Evidence Visualizer, we saw which
attributes make good predictor variables for prepayment forecasts. The
data comes from the McDASH Analytics database containing real
data, which tracks loans at monthly intervals.

The data in this file contains over 900,000 records by 45 attributes.

The paper is available at:
           http://reality.sgi.com/ronnyk/mortgage.ps.gz
           http://reality.sgi.com/ronnyk/mortgage.pdf

More information about MineSet is available at http://mineset.sgi.com

--

   Ronny Kohavi (ronnyk@sgi.com, http://robotics.stanford.edu/~ronnyk)
   Engineering Manager, MineSet.
   Maximize the value of data with data mining and visualization.