Abstract
In 2014, the US 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.
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