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Mortage Models Improvement in PROPHET

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Situation client

Belgian Insurance company

Internal needs to perform multiple enhancements for mortgages portfolio into PROPHET Professional (model 1)

Integration for mortgages model into Prophet ALS (model 2)

Issues

Perform all required improvements satisfying validation recommendation

Models should be auditable

Models should be operational (including key-point on runtime)

Model2 should be compliant with existing Prophet ALS guidelines

Improvements should be documented

Reacfin Contribution

Propose collaboration for mortgages models improvement into Prophet (including ALS library)

Performing required improvement topics

Propose a second-look over existing mortgages model

Models testing and operationalization

Extra milestones

Different suggestions to simplify ALS complexity

Extra runtime reduction

Benchmarking with market standards

Results and Benefits

Fullfilled internal validation requirements

Improved model quality, runtime and comprehension

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Assignments template

Mortage Models Improvement in PROPHET

© Reacfin

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