Before revision: This paper analyzes multi-period mortgage risk at loan and pool levels using an unprecedented dataset of  over 120 million prime and subprime mortgages originated across the United States between 1995 and 2014, which includes the individual characteristics of each loan, monthly updates on loan performance over the life of a loan, and a number of time-varying economic variables at the zip code level.
After revision: We develop a deep learning model of multi-period mortgage risk at loan and pool levels using an unprecedented dataset of over 120 million prime and subprime mortgages originated across the United States between 1995 and 2014, which includes the individual characteristics of each loan, monthly updates on loan performance over the life of a loan, and a number of time-varying economic variables at the zip code level.