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Research Seminars & Workshops @ IRES

Professor Brent C. Smith
Virginia Commonwealth University

Stability in Consumer Credit Scores:
Level and Direction of FICO Score Drift as a Precursor to Mortgage Default and Prepayment


28 July 2010 (Wed)


3.30 pm - 5.00 pm


RMI Executive Seminar Room
21 Heng Mui Keng Terrace, Level 4


This article represents an extension of the expansive credit risk and credit migration literature, prominent corporate bond and securities risk pricing, to an analysis of the drift of consumer credit scores. A rich data set of residential mortgages is used to observe credit score migration post loan origination and in a test of the ability of credit score transition to serve as a precursor to potential default and prepayment. The results indicate credit scores provide signals and information to investors and servicing agents in a fashion similar to credit ratings on commercial paper as to default potential.

About The Speaker

Professor Smith (Brent) has a Master in Business from Notre Dame and holds a PhD in Public Finance and Economic Geography from Indiana University. His research interests include commercial property markets, mortgage performance, housing finance, and valuation. Brent serves on the editorial board for Real Estate Economics, the Appraisal Journal and the Journal of Real Estate Literature, and regularly reviews articles for the Journal of Regional Science and Urban Economics, Journal of Real Estate Finance and Economics, Journal of Real Estate Research, Journal of Housing Economics and the Journal of Housing Research.

Brent was a recipient of the Outstanding Reviewer Award in 2009 for Real Estate Economics, and received the Emerging Scholar's Award in 2010 from the American Real Estate Society. In addition, he is a post-doctoral honoree at the Weimer School of Advanced Studies in Real Estate and Land Economics, Florida, USA. His research papers have received numerous grants and acknowledgements include two best paper awards from the American Real Estate Society. Brent was recently inducted as one of only 3 academic members into the Real Estate Councilors' Group of America.

For full paper, download here

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