论文标题
关于当前消费汽车贷款中信用风险的收敛
On the Convergence of Credit Risk in Current Consumer Automobile Loans
论文作者
论文摘要
贷款调味料和效率低下的消费者利率再融资行为是抵押贷款的众所周知的。但是，在迅速贬值的资产上是抵押贷款的消费者汽车贷款，其关注较少。我们得出了一种新型的大型统计假设检验，适用于从资产支持证券中取样的贷款，以填充风险带之间的过渡矩阵。我们发现，尽管水下仍然存在，但目前所有当前的风险带最终都融合了超级积分。从经济上讲，我们的结果意味着借款人forwent \ $ 1,153- \ $ 2,327通过延迟预付款，潜在的基于信用的储蓄。我们提出了预期的现值分析，以获得贷方风险调整后的盈利能力。我们的结果对19. Covid-19似乎很强大。
Loan seasoning and inefficient consumer interest rate refinance behavior are well-known for mortgages. Consumer automobile loans, which are collateralized loans on a rapidly depreciating asset, have attracted less attention, however. We derive a novel large-sample statistical hypothesis test suitable for loans sampled from asset-backed securities to populate a transition matrix between risk bands. We find all current risk bands eventually converge to a super-prime credit, despite remaining underwater. Economically, our results imply borrowers forwent \$1,153-\$2,327 in potential credit-based savings through delayed prepayment. We present an expected present value analysis to derive lender risk-adjusted profitability. Our results appear robust to COVID-19.
