JSM Preliminary Online Program
This is the preliminary program for the 2007 Joint Statistical Meetings in Salt Lake City, Utah.

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Activity Number: 388
Type: Contributed
Date/Time: Wednesday, August 1, 2007 : 8:30 AM to 10:20 AM
Sponsor: Section on Survey Research Methods
Abstract - #308828
Title: Sample Redesign for the FDIC's Asset Valuation Review
Author(s): David W. Chapman*+
Companies: Federal Deposit Insurance Corporation
Address: 7206 Quantum Leap Lane, Bowie, MD, 20720,
Keywords: Optimum allocation ; Stratum boundaries ; Certainty criteria ; Stratified sampling
Abstract:

When an FDIC-insured financial institution is in danger of failing, the FDIC has to assess the value of the institution's loan portfolio in a short period of time, as part of an Asset Valuation Review (AVR). Based on the AVR, price tags are given to various loan pools (types), which are used to sell the bank's loans to other institutions, if the bank fails. Because of the large number of loans in most portfolios, sampling must be used to estimate the value of the loan pools. The basic design is a stratified random sample, with strata defined by size (loan book value). The definition of strata (including a certainty stratum) and the derivation of the total and stratum sample sizes have to be automated because of the limited time available for the AVR. The current design is being revised to improve sampling efficiency. The challenges and features of the revised design will be discussed.

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Revised September, 2007