Yini Yang focuses on the research and development of collateral models for asset-backed securities. Previously, she worked as a quantitative developer at Nomura, responsible for developing the analytics platform for securitized products. At Barclays Capital, Yini helped build the analytics library for mortgage-backed securities and MBS derivatives. She has master’s degrees in mathematics and financial engineering from New York University, as well as a bachelor’s degree in electronic engineering from Tsinghua University.
Research and Insights
Articles by Yini Yang
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?
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.
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.
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 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?
How coronavirus could hurt Chinese consumer ABSBlog | Mar 20, 2020 |
The slowing Chinese economy and trade uncertainty had already put strains on the performance of Chinese consumer asset-backed securities. The COVID-19 pandemic could further harm the performance of these securities. Investors may wish to gauge the risks.
Trade deal broadened access to China’s nonperforming loansBlog | Jan 29, 2020 |
The phase-one U.S.-China trade deal lets U.S. asset managers acquire nonperforming loans directly from Chinese banks. We assess the market’s characteristics, as investors face challenges estimating recovery rates and liquidation timing of these loans.
A default wave for Chinese consumer ABS?Blog | Nov 18, 2019 |
The default rate for auto loans in Chinese consumer asset-backed securities increased rapidly in recent months, and China may be moving toward a more borrower-friendly bankruptcy regime. Could this lead to even higher default rates?
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.