Hi everyone!<\/p>\n
I’m a Master’s student in Statistics at the University of Padua (Italy), currently developing my thesis on the application of Survival Analysis and Machine Learning to mortgage credit risk.<\/p>\n
I’m looking for a European residential mortgage dataset with longitudinal loan-level observations, ideally containing:<\/p>\n
– Loan characteristics (LTV, interest rate, loan amount, maturity, etc.).<\/p>\n
– Repayment or performance histories.<\/p>\n
– Default events and their timing.<\/p>\n
– Early repayment\/prepayment events, if available.<\/p>\n
– Enough information to reconstruct loan durations and right-censoring.<\/p>\n
My goal is to compare traditional survival models (such as Cox proportional hazards) with Survival Machine Learning methods, potentially including competing risks for default and prepayment.<\/p>\n
I’m aware of the Freddie Mac Single-Family Loan-Level Dataset, but I would particularly like to explore European mortgage markets.<\/p>\n
So far, I’ve investigated European DataWarehouse, De Nederlandsche Bank, and several academic studies using proprietary banking datasets. I’ve also contacted some institutions to enquire about academic access.<\/p>\n
Does anyone know of other European mortgage datasets, research repositories, or academic collaborations that might be worth exploring?<\/p>\n
I’m also interested in datasets that aren’t publicly downloadable but might be accessible to university researchers under specific agreements.<\/p>\n
Any suggestions, relevant papers, or contacts would be greatly appreciated.<\/p>\n
Thanks in advance!<\/p>\n<\/div>\n
submitted by \/u\/Best_Celebration_933 <\/a>
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