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Yini Yang

Yini Yang
Vice President, MSCI Research

About the Contributor

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.

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Contributions by Yini Yang


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  1. BLOG

    COVID Stimulus Helped Resilience of US ABS 

    Jan 29, 2021 Yini Yang , Joy Zhang

    Risk Management , Fixed Income

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    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.

  2. BLOG

    Consumer ABS: Recovering from Coronavirus? 

    Jun 11, 2020 Yini Yang , Jian Chen , Joy Zhang

    Risk Management , Fixed Income

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    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.

  3. BLOG

    Can AI Model the Complexities of MBS Prepayment? 

    May 29, 2020 Joy Zhang , Yini Yang

    Fixed Income , Risk Management

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    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?

  4. BLOG

    Consumer ABS Under Coronavirus in the US and China 

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

    Emerging Markets , Fixed Income , Global Investing , Risk Management

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    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?

  5. BLOG

    Could coronavirus lead to default contagion in CLOs? 

    Apr 1, 2020 Yini Yang , Joy Zhang

    Risk Management , Fixed Income

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    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?

  6. BLOG

    How coronavirus could hurt Chinese consumer ABS 

    Mar 20, 2020 Yini Yang , Jian Chen

    Risk Management , Global Investing , Fixed Income , Emerging Markets

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    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.

  7. BLOG

    Trade deal broadened access to China’s nonperforming loans 

    Jan 29, 2020 Yini Yang , Jian Chen

    Risk Management , Fixed Income , Global Investing , Emerging Markets

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    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.

  8. PAPER

    MSCI China Non-Performing Loan ABS Collateral Model 

    Jan 25, 2020 Yini Yang

    Risk Management , Factor and Risk Modeling

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    This document describes the technical specification of the MSCI China non-performing loan (NPL) ABS collateral model. The model has one component: the cumulative recovery rate curve, which is conditional on the collateral type (credit card, residential mortgage, corporate loan) and the deal age. The model fit for the 91 sample deals with historical performance data is reasonable. It is also robust compared to other forms of complex models. This model structure may change as more data is collected. This white paper is organized as follows: The second section describes the China NPL ABS market in terms of issuance volume and deal growth, as well as the market share for the top players. The third section gives the model specification. The last section provides the model fit in terms of actual and predicted recovery vectors, along the deal age horizon, and with respect to the 91 sample deals.

  9. PAPER

    MSCI US Credit Card ABS Collateral Model 

    Nov 30, 2019 Yini Yang

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  10. BLOG

    A default wave for Chinese consumer ABS? 

    Nov 18, 2019 Yini Yang , Jian Chen

    Economic Exposure , Emerging Markets , Fixed Income , Global Investing , Risk Management

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    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?

  11. PAPER

    MSCI China Auto Loan ABS Collateral Model 

    Oct 31, 2019 Yini Yang , Jian Chen

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  12. PAPER

    MSCI Agency Fixed Rate Default Model: The Effect of Borrower Subsequent Debt 

    May 31, 2019 Yini Yang , Joy Zhang

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  13. PAPER

    MSCI House Price Volatility Model: Spatial and Temporal Structure 

    May 30, 2019 Joy Zhang , Yini Yang

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  14. BLOG

    Are Subprime Auto Loans at a Tipping Point? 

    Mar 4, 2019 Yini Yang , Joy Zhang

    Models/Client Cases , Economic Exposure , Fixed Income

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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.

  15. PAPER

    MSCI US Auto Loan Collateral Model Insight 

    Oct 29, 2018 Yini Yang , Joy Zhang

    Factor and Risk Modeling , Risk Management

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    The MSCI U.S. Auto Loan ABS Collateral models are used to project collateral loan performance, including prepayment, default, and loss severity rates. These are used for measuring the risk and return of these securities.