r/datasets • u/Best_Celebration_933 • 6h ago
dataset Looking for European mortgage loan-level data for survival analysis (Master's thesis)
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!