RT Journal Article
SR Electronic
T1 Auto ABS Loan-Level Data: Improved Risk Analysis
JF The Journal of Structured Finance
FD Institutional Investor Journals
SP jsf.2022.1.130
DO 10.3905/jsf.2022.1.130
A1 Yini Yang
A1 Joy Zhang
A1 Jiawei “David” Zhang
YR 2022
UL https://pm-research.com/content/early/2022/01/04/jsf.2022.1.130.abstract
AB 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 display 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 ABS loans, and can provide benefits for investors and risk managers who use them.