Looking for European mortgage loan-level data for survival analysis (Master's thesis)

[u/Best_Celebration_933]

Hi everyone!

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.

I'm looking for a European residential mortgage dataset with longitudinal loan-level observations, ideally containing:

- Loan characteristics (LTV, interest rate, loan amount, maturity, etc.).

- Repayment or performance histories.

- Default events and their timing.

- Early repayment/prepayment events, if available.

- Enough information to reconstruct loan durations and right-censoring.

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.

I'm aware of the Freddie Mac Single-Family Loan-Level Dataset, but I would particularly like to explore European mortgage markets.

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.

Does anyone know of other European mortgage datasets, research repositories, or academic collaborations that might be worth exploring?

I'm also interested in datasets that aren't publicly downloadable but might be accessible to university researchers under specific agreements.

Any suggestions, relevant papers, or contacts would be greatly appreciated.

Thanks in advance!

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[u/locaihost_data]

eurostat won't get you there, their housing data is aggregate price indices, nothing at loan level.

the realistic european source is securitised mortgages. since 2013 the ECB has required loan-level data for RMBS used as collateral (that's what European DataWarehouse was set up to hold), and the EU securitisation regulation now makes issuers report loan-level data on the ESMA residential template to the securitisation repositories. dutch, italian, spanish and french deals are well covered, and dutch deals tend to be big and long running which helps with durations. there are a fair number of published papers that used EDW data under academic agreements, so it's worth asking them specifically for thesis access rather than the commercial product.

a few things that bite with that kind of data when you do survival models:

• loans enter the data when they're securitised, not at origination, so you have left truncation. use delayed entry (start/stop format in coxph, most survival ML libs support it too) or the early hazard will be off
• loans leave a pool for reasons that are neither default nor prepayment: repurchase by the originator, substitution, the deal getting called. the account status and redemption fields let you separate those, treat them as censoring and not as prepayment or you'll inflate the prepayment hazard
• reporting is monthly or quarterly per deal, so event times are interval censored at that grain

other places to look: bank of italy's remote access to microdata service (you're well placed being in italy, though the credit register itself is hard to get), and the central bank of ireland, which has published a lot of mortgage arrears and default research on loan-level data. anacredit won't help, it only covers loans to companies.

if access drags on, a common thesis setup is to build the method on freddie mac and then replicate it on whatever european sample you get

[u/Former-Minute-3264]

Have you checked Eurostat’s housing price dataset? They’ve got harmonised loan-level data for EU member states, though you might need to aggregate regional levels to get survival analysis coverage.

[u/velvetlane1]

imo your best bet might be reaching out to national central banks directly, not just DNB. Bank of Spain and Banca d'Italia both have research divisions that sometimes grant access to anonymized loan tapes for academic work.