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Joy Zhang
Executive Director, MSCI Research
About the Contributor
Joy Zhang is an Executive Director and Head of Non-Agency Securitization Research. Previously, Joy was a Director at Credit Suisse, responsible for mortgage collateral and regulatory modeling for securitized products trading. She also has worked as a senior developer at Goldman Sachs responsible for developing a firm-wide risk management system. Joy has an M.S. in Computational Finance from the Carnegie Mellon University and a Ph.D. in Chemistry from University of Kansas.
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Blog posts by Joy Zhang
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BLOG
Are Securitized Products Ready for the LIBOR-SOFR Transition?
Sep 2, 2020 Joy Zhang , Yihai YuWill the securitization industry be ready for the transition from LIBOR to the secured overnight financing rate (SOFR), as it faces the fact that LIBOR can no longer be guaranteed beyond the end of 2021? As the industry mobilizes, significant challenges remain.
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Consumer ABS: Recovering from Coronavirus?
Jun 11, 2020 Yini Yang , Jian Chen , Joy Zhang -
Machine learning using neural networks has been successfully applied to fields in which extremely complex patterns can prove challenging for other algorithms. Are neural networks suited for modeling prepayment risk in agency mortgage-backed securities?
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BLOG
Consumer ABS Under Coronavirus in the US and China
May 11, 2020 Yini Yang , Jian Chen , Joy ZhangBeyond COVID-19’s steep human toll, the pandemic’s disruption of economic life has led to widespread loss of income and impaired some borrowers’ ability to repay loans. What could the impact be for investors in consumer asset-backed securities in the U.S. and China?
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The large economic shocks unleashed by the coronavirus pandemic could be comparable to or even exceed those of the 2008 global financial crisis (GFC). We used our models to assess whether these shocks could hurt U.S. housing prices as much as the GFC did.
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Could coronavirus lead to default contagion in CLOs?
Apr 1, 2020 Joy Zhang , Yini Yang -
Artificial intelligence has broken through in fields previously dominated by humans. Could AI surpass humans in modeling the complex risks of agency mortgage-backed securities?
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Despite the Fed’s silence on the matter, the MBS market may be indicating that a new round of QE is coming.
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Investors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending — concerns that increased during the recent market volatility.
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With the Federal Reserve raising interest rates and the majority of agency mortgage-backed securities (MBS) under the refinance threshold, how much do investors need to worry about refinance risk? Our model indicates that future refinance regimes would be similar to recent 2016 experiences, and this view is consistent with current behavior of MBS empirical durations. However, investors may want to remain vigilant, as the recent trend toward looser mortgage credit standards by agencies and regulators could increase the prepayment intensity of future refinance waves.
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Investors in the booming U.S. Collateralized Loan Obligation (CLO) market likely need to be aware of the risks: record tight spreads, deteriorating credit quality, and, as our expanded CLO data analytics reveal, selection bias risk.
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