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Auto ABS Loan-Level Data: Improved Risk Analysis
Dec 1, 2022
In 2014, the U.S. Securities and Exchange Commission’s Regulation AB mandated loan-level data disclosure for public auto-loan asset-backed securities (ABS). As a result, the loan-level data from 2017 to 2021 displays a rich set of loan-level variables that shed light on collateral performance patterns and improve risk analysis, especially for credit risk. Statistical predictive models that incorporate these loan-level drivers substantially improve the accuracy and granularity of default forecasts for auto-loan ABS. Republished with permission from the Journal of Structured Finance, from: Yini Yang, Joy Zhang, and David Zhang, “Auto ABS Loan-Level Data,” Journal of Structured Finance 27, no. 4 (winter 2022).
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Research authors
- Yini Yang, Executive Director, MSCI Research
- Joy Zhang, Managing Director, MSCI Research
- David Zhang, Managing Director, MSCI Research
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