Mitropoulos, Atanasios and Zaidi, Rida (2009): Relative indicators of default risk among UK residential mortgages.
Download (247Kb) | Preview
We have assembled a unique loan-level performance dataset for mortgages originated in the UK to study the differences in default likelihood between loans of varying borrower and loan characteristics. We can broadly confirm the relevance of most commonly known riskfactors and find that most drivers of default for prime are also relevant for non-conforming, drivers of repossessions are largely similar to drivers of arrears and information on adverse borrower information dominates any other risk factor. Our study provides many more details and compares results with recent studies for the US and other European countries.
|Item Type:||MPRA Paper|
|Original Title:||Relative indicators of default risk among UK residential mortgages|
|Keywords:||residential mortgages; loan defaults; consumer behaviour; logistic regression; United Kingdom|
|Subjects:||G - Financial Economics > G0 - General > G01 - Financial Crises
D - Microeconomics > D1 - Household Behavior and Family Economics > D14 - Personal Finance
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Atanasios Mitropoulos|
|Date Deposited:||30. Dec 2009 10:02|
|Last Modified:||11. Feb 2013 17:36|
Ambrose, B, Buttimer, J and Capone, C, 1997. The impact of the delay between default and foreclosure on the mortgage default option. Journal of Money, Credit, and Banking 29, p. 314-325.
Breedon, F and Joyce, M, 1992, House prices, arrears and possessions, Bank of England Quarterly Bulletin, p. 173–79.
Brookes, M, Dicks, M and Pradhan, M, 1994, An empirical model of mortgage arrears and repossessions, Economic Modelling 11, p. 134–44.
Coles, A, 1992, Causes and characteristics of arrears and possessions, Housing Finance. 13, p.10–12.
Demyanyk, Y and Hemert,O, 2009, Understanding the subprime mortgage crisis, Review of Financial Studies, forthcoming.
Diaz-Serrano, L, 2005, Income volatility and residential mortgage delinquency across the EU, Journal of Housing Economics 14, p. 153-177.
Doling, J, Ford, J and Stafford, B (Eds), 1988, The Property Owing Democracy. Aldershot: Avebury.
Figuera, C, Glen, J and Nellis, J, 2005, A dynamic analysis of mortgage arrears in the UK housing market, Urban Studies 42, 1755-1769.
Ford, J, Kempson, E and Wilson, M, 1995, Mortgage arrears and possessions: perspectives from borrowers, lenders and the courts, HMSO, London.
Hellebrandt, T., Kawar, S. and Waldron, M., 2009, The economics and estimation of negative equity, Bank of England Quarterly Bulletin Q2.
Jackson, J R and Kaserman, D L, 1980, Default risk on home mortgage loans: a test of competing hypotheses, The Journal of Risk and Insurance, p. 678-90.
Lambrecht, B, Perraudin, W and Satchell, S, 1997, Time to default in the UK mortgage market, Economic Modelling 14, p. 485-99.
May, O and Tudela, M, 2005, When is mortgage indebtedness a financial burden to British households? A dynamic probit approach, Bank of England Working Paper 277.
Mayer, C, J, Pence, K and Shurland, S, 2009, The rise in mortgage defaults, Journal of Economic Perspectives 23, p. 27-50.
Whitley, J, Windram, R and Cox, P, 2004 , An empirical model of household arrears, Bank of England Working Paper no. 214.