OUR APPROACH
crossi@criskadvisors.com
Risk is ever-present regardless of the industry. As conditions to your business and markets change, having the right risk governance, controls and analytics to successfully steer away from extranormal risk is an essential ingredient to effective risk management. At Chesapeake Risk Advisors, LLC we focus on maintaining a balance between risk and return providing clients with a range of strategic and analytical risk solutions to address various risk management problems. Based on decades of direct senior executive experience at Fortune 500 companies, Chesapeake Risk Advisors, LLC is a risk management advisory practice with a long track record in elevating risk management practices across financial services, pharma, insurance and other sectors.
UNPARALLELED RISK MANAGEMENT EXPERTISE
Spanning a 25-year industry career, Dr. Rossi has worked at the highest levels of risk management at major corporations and had extensive experience in managing risk at companies under all business conditions and is an expert in managing risk in times of crisis. His technical and risk leadership skills provide a well-rounded experience that are unique to risk management. Following his industry career, Cliff entered academia as Professor-of-the-Practice in the Finance Department at the Robert H. Smith School of Business, University of Maryland as well as Director of the Smith Enterprise Risk Consortium and an Executive-in-Residence. He is a sought after speaker at conferences and industry events and authored the practitioner and graduate textbook, A Risk Professional’s Survival Guide – Applied Best Practices in Risk Management. He received his MS and PhD degrees from Cornell University.
OUR CLIENTS
Chesapeake Risk Advisors, LLC has been engaged by a wide variety of clients including some of the largest commercial banks, federal regulatory agencies, pharma companies, mortgage insurance companies, community banks, credit unions, Federal Home Loan Banks, asset management companies and private equity firms, among others.
Example engagements include advising on development of ERM frameworks and risk appetite statements, advising boards on risk management practices and governance issues, expert witness testimony, validating complex statistical models used for loan loss reserving and loss forecasting, evaluation and recommendation of portfolio management tools and development of statistically-based credit underwriting, valuation and interest rate risk models
New Lender Choice FICO 10T vs VantageScore 4.0 Credit & Prepayment Analysis
Lender choice between FICO 10T and VantageScore 4.0 in mortgage loan delivery to the GSEs presents one of the biggest changes to mortgage underwriting in decades. It also presents the potential for significant uncertainty around credit and prepayment risks to credit and MBS investors. This study extends a previous analysis of lender choice between Classic FICO and VantageScore 4.0 by examining how FICO 10T would potentially affect mortgage risk. The statistical analysis clearly shows that FICO 10T exhibits notably greater discriminatory power between serious delinquent and nondelinquent loans than VantageScore 4.0. The adverse selection effect from lender choice found in the previous study is corroborated in this analysis though FICO 10T tends to mute incremental losses more than Classic FICO as a credit score option for lenders in addition to VantageScore 4.0. Moreover, these results also suggest that eliminating the minimum 620 FICO requirement was premature by the GSEs and should be reassessed. Finally, the analysis revealed large differences in the prepayment effects of mortgages across credit scores under varying adverse selection scenarios suggesting significant uncertainty in prepayment behavior of MBS pools which support the use of uncertainty premiums in pricing securities. Combined, these results suggest that lender choice, absent an effective response by the GSEs, is likely to adversely affect credit investors and pose greater uncertainty in MBS pricing.