Model Validation of FHFA Mortgage Analytical Platform

IFE Group was engaged by the Federal Housing Finance Agency (FHFA) to conduct a replication of the FHFA Mortgage Analytical Platform (FMAP), which was built upon the competing risk approach. The purpose of the project was to evaluate whether the model implementation was accurate and consistent with the model’s theoretical framework and whether the model documentation was sufficiently comprehensive and detailed to allow successful replication by an experienced mortgage modeler.  The engagement consisted of reviewing model documentation; independently replicating each module of the model and comparing outputs against FHFA’s internal results; identifying and resolving discrepancies; and summarizing and presenting findings and recommendations.