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Article

Forecasting and Stress-Testing U.S. Vehicles ABS Deals

Juan Carlos Calcagno, Jian Hu and Benjamin Kanigel
The Journal of Structured Finance Spring 2013, 19 (1) 9-27; DOI: https://doi.org/10.3905/jsf.2013.19.1.009
Juan Carlos Calcagno
is director, credit analytics at Moody’s Analytics in West Chester, PA.
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  • For correspondence: juancarlos.calcagno@moodys.com
Jian Hu
is a senior economist at Moody’s Analytics in West Chester, PA.
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  • For correspondence: jian.hu2@moodys.com
Benjamin Kanigel
is an economist at Moody’s Analytics in West Chester, PA.
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  • For correspondence: benjamin.kanigel@moodys.com
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Abstract

In this study, an econometric model has been developed to forecast and stress test the collateral backing global asset-backed security/residential mortgage-backed security (ABS/RMBS) deals. The authors outline a modeling approach they use to forecast and stress test the cash flow backing U.S. vehicle ABS deals. Their econometric approach considers loan characteristics, economic conditions at loan origination, past pool performance, and dynamics in the macroeconomic environment over time to explain changes in pool-level performance. The main outputs of these models are scenario-based default, prepayment, and severity vectors based on macroeconomic assumptions. These vectors provide all necessary data to run waterfall valuation engines and thus compute fair value and expected loss under baseline as well as stressed economic conditions.

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The Journal of Structured Finance: 19 (1)
The Journal of Structured Finance
Vol. 19, Issue 1
Spring 2013
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Forecasting and Stress-Testing U.S. Vehicles ABS Deals
Juan Carlos Calcagno, Jian Hu, Benjamin Kanigel
The Journal of Structured Finance Apr 2013, 19 (1) 9-27; DOI: 10.3905/jsf.2013.19.1.009

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Forecasting and Stress-Testing U.S. Vehicles ABS Deals
Juan Carlos Calcagno, Jian Hu, Benjamin Kanigel
The Journal of Structured Finance Apr 2013, 19 (1) 9-27; DOI: 10.3905/jsf.2013.19.1.009
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