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.
Research and Insights
Articles by Joy Zhang
Do Agency CMOs’ Financed Emissions Have Duration?4 mins read Blog | Jul 20, 2023 |
The market for collateralized mortgage obligations backed by agency residential mortgage-backed securities is a major source of financing for U.S. homeownership. But what is this market’s total emissions footprint? We use our model to calculate it.
Breaking Down Financed Emissions for Agency RMBS5 mins read Blog | Jul 11, 2023 |
Agency residential mortgage-backed securities (RMBS) finance about 17% of U.S. residential greenhouse-gas emissions annually. We break down that number to help issuers and investors understand emissions sources and drivers behind agency RMBS.
How Making US Mortgages Portable Could Impact MBS Investors6 mins read Blog | Jun 14, 2023 |
U.S. mortgages are generally not portable. While there would be legal hurdles to overcome to reverse the situation, such a move could benefit not only homeowners, but potentially investors in mortgage-backed securities.
Carbon-Emissions Data to Inform the MBS Market5 mins read Blog | Mar 8, 2023 |
Our state-level analysis of carbon emissions for U.S. residential properties indicates strong regional differences in emissions and their drivers. Such data could improve understanding of emissions from holdings in mortgage-backed securities and property loans.
China’s Green-Bond Market: Growing Issuance and Historical Outperformance6 mins read Blog | Feb 24, 2022 |
China’s green-bond market has grown rapidly in recent years and is now second in size only to the U.S. Understanding the reasons behind this market’s growth and performance may help investors as they consider incorporating Chinese green bonds in portfolios.
US ABS: Strong Bounce Back, Uneven Performance5 mins read Blog | Feb 10, 2022 |
As the U.S. job market has begun to recover, so have consumer credit levels. The issuance of U.S. consumer asset-backed securities (ABS) had a strong bounce back in 2021. What drove this surge across ABS markets?
Housing-Bubble Déjà Vu5 mins read Blog | Aug 10, 2021 |
The U.S. in the past year recorded the highest national house-price appreciation in recent decades. Does the run-up in home prices represent housing-bubble déjà vu? And what can MBS investors do to assess their mortgage credit risk?
What Can Loan-Level Data Reveal About US Auto-Loan ABS?5 mins read Blog | Jun 15, 2021 |
U.S. regulators required issuers by Nov. 23, 2016, to disclose data on individual loans bundled into auto-loan asset-backed securities. We looked at whether incorporating loan-level data into our model could sharpen our analysis of this ABS segment.
US House Price Projections from the Economic Impact of the CoronavirusResearch Report | Apr 30, 2021 |
Could coronavirus-induced economic shocks hurt U.S. house prices as much as the 2008 global financial crisis did? This article identifies four drivers that could produce much milder house-price depreciation this time.
COVID Stimulus Helped Resilience of US ABS4 mins read Blog | Jan 29, 2021 |
Issuance of U.S. asset-backed securities fell by a quarter in 2020 from the previous year, as credit tightened during the COVID-19 crisis. The performance of loans underpinning ABS proved resilient, however, as economic relief helped support consumers.
Are Securitized Products Ready for the LIBOR-SOFR Transition?5 mins read Blog | Sep 2, 2020 |
Will 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.
Consumer ABS: Recovering from Coronavirus?Blog | Jun 11, 2020 |
After the U.S. COVID-19 lockdown, new monthly remittance reports for asset-backed securities indicated performance deterioration and signaled potential challenges ahead. Meanwhile, in China, ABS showed signs of recovery.
Can AI Model the Complexities of MBS Prepayment?Blog | May 29, 2020 |
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?
Consumer ABS Under Coronavirus in the US and ChinaBlog | May 11, 2020 |
Beyond 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?
Could coronavirus depress US housing prices?Blog | Apr 15, 2020 |
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.
Could coronavirus lead to default contagion in CLOs?Blog | Apr 1, 2020 |
The market for collateralized loan obligations is under severe stress during the COVID-19 pandemic. We used MSCI’s loan and CLO models to assess a sample CLO’s loan-default risk characteristics. Could a wave of defaults harm CLOs?
MBS prepayment modeling: AI 1, Humans 0?Blog | Sep 27, 2019 |
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?
MBS investors: quantitative easing déjà vu?Blog | Sep 5, 2019 |
Despite the Fed’s silence on the matter, the MBS market may be indicating that a new round of QE is coming.
Are Subprime Auto Loans at a Tipping Point?Blog | Mar 4, 2019 |
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.
Is MBS Refinance Risk Increasing?Blog | Oct 12, 2018 |
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...
As Credit Risk Rises, Beware of Selection Bias in CLOsBlog | Jun 1, 2018 |
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.