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Constructing Applicants from Loan-Level Data: A Case Study of Mortgage Applications

Author

Listed:
  • Hadi Elzayn
  • Simon Freyaldenhoven
  • Minchul Shin

Abstract

We develop a clustering-based algorithm to detect loan applicants who submit multiple applications (“cross-applicants”) in a loan-level dataset without personal identifiers. A key innovation of our approach is a novel evaluation method that does not require labeled training data, allowing us to optimize the tuning parameters of our machine learning algorithm. By applying this methodology to Home Mortgage Disclosure Act (HMDA) data, we create a unique dataset that consolidates mortgage applications to the individual applicant level across the United States. Our preferred specification identifies cross-applicants with 93 percent precision

Suggested Citation

  • Hadi Elzayn & Simon Freyaldenhoven & Minchul Shin, 2025. "Constructing Applicants from Loan-Level Data: A Case Study of Mortgage Applications," Working Papers 25-05, Federal Reserve Bank of Philadelphia.
    • Handle: RePEc:fip:fedpwp:99499
    DOI: 10.21799/frbp.wp.2025.05
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    File URL: https://www.philadelphiafed.org/-/media/FRBP/Assets/working-papers/2025/wp25-05.pdf
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    More about this item

    Keywords

    clustering; mortgage applications; HMDA;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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