Consumer automobile leases from Mercedes-Benz Auto Lease Trust 2017-A

A dataset containing performance records of 47,315 consumer automobile leases with an original term of 36 months from the Mercedes-Benz Auto Lease Trust (MBALT) 2017-A.

Usage

mbalt

Format

mbalt

A data frame with 47,315 rows and 3 columns:

Zi

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

Yi

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

Di

Event indicator (1 = exact termination observed, 0 = right-censored).

Source

Data was compiled from the SEC's Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system.

References

Lautier, J. P., Pozdnyakov, V., & Yan, J. (2023). Estimating a discrete distribution subject to random left-truncation with an application to structured finance. Econometrics and Statistics. doi:10.1016/j.ecosta.2023.05.005 .

Lautier, J. P., Pozdnyakov, V., & Yan, J. (2023). Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach. Insurance: Mathematics and Economics, 110, 53-71. doi:10.1016/j.insmatheco.2023.02.003 .