Consumer automobile loans recovery curves — aloans

A dataset containing the recovery curves associated with the automobile loans analyzed in Lautier et al. 2024.

Usage

aloans_recov

Format

`aloans_recov`

A data frame with 365 rows and 3 columns:

risk.cat: Credit risk band based on the loan's Annual Percentage Rate (APR). Categories include "super_prime" (0-5%), "prime" (5-10%), "near_prime" (10-15%), "subprime" (15-20%), and "deep_subprime" (20%+).
month: The month for which the recovery is estimated.
recovery: The estimated recovery rate for a given month and credit risk band.

References

Lautier, J. P., Pozdnyakov, V., & Yan, J. (2024). On the convergence of credit risk in current consumer automobile loans. Journal of the Royal Statistical Society Series A: Statistics in Society, qnae137. doi:10.1093/jrsssa/qnae137 .