Consumer automobile loans from Ally Auto Receivables Trust

A dataset containing time-to-event and left-truncation times for consumer automobile loans from the Ally Auto Receivables Trust (AART). The data were compiled from the SEC's EDGAR system.

Usage

aart

Format

aart

A data frame with 1,553 rows and 2 columns:

Xi

Time-to-event, representing the loan termination age in months.

Yi

Left-truncation time, representing the loan age in months when the ABS trust began making payments to investors.

Source

Data was compiled from the SEC's Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system. The replication data repository is available at https://github.com/jackson-lautier/consumer-auto-abs-parametric.

References

Lautier, J. P., Pozdnyakov, V., & Yan, J. (2025). Estimating the time-to-event distribution for loan-level data within a consumer auto loan asset-backed security. The Annals of Applied Statistics. doi:10.1214/25-AOAS2103 .