Approx. 5,000 mortgage loans and 1,500 defaults
with workout experiences
The mortgage data includes 15,000 defaults with workout losses for 50,000 mortgages observed and 60 quarters. The data also provides many risk controls, payoff events and exposures for feature engineering.
Please cite "Roesch, D., & Scheule, H. (2020). Deep Credit Risk: Machine Learning with Python, Amazon" when using the data and code.