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On the Convergence of Credit Risk in Current Consumer Automobile Loans
Loan seasoning and inefficient consumer interest rate refinance behavior are well-known for mortgages.
Pricing Time-to-Event Contingent Cash Flows: A Discrete-Time Survival Analysis Approach
In an application to a subset of 29, 845 36-month leases from the Mercedes-Benz Auto Lease Trust 2017-A (MBALT 2017-A) bond, our pricing model yields estimates closer to the actual realized future cash flows than the non-random time-to-event model, especially as the fitting window increases.
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