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Joy Zhang

Joy Zhang

Executive Director, MSCI Research

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

    China’s Green-Bond Market: Growing Issuance and Historical Outperformance

    6 mins read Blog | Feb 24, 2022 | Jian Chen , Joy Zhang

    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 Performance

    5 mins read Blog | Feb 10, 2022 | Yini Yang , Joy Zhang

    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 Vu

    5 mins read Blog | Aug 10, 2021 | Joy Zhang , David Zhang

    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 | Yini Yang , Joy Zhang

    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 Coronavirus

    Report | Apr 30, 2021 | David Zhang , Joy Zhang , Yihai Yu

    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 ABS

    4 mins read Blog | Jan 29, 2021 | Yini Yang , Joy Zhang

    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 | Joy Zhang , Yihai Yu

    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 | Yini Yang , Jian Chen , Joy Zhang

    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 | Yini Yang , 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?

    Consumer ABS Under Coronavirus in the US and China

    Blog | May 11, 2020 | Yini Yang , Jian Chen , Joy Zhang

    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 | Yihai Yu , Joy Zhang

    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 | Yini Yang , Joy Zhang

    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 | David Zhang , Joy Zhang

    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 | Joy Zhang

    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 | Yini Yang , Joy Zhang

    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 | Joy Zhang

    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 CLOs

    Blog | Jun 1, 2018 | Joy Zhang

    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.