Mitropoulos, Atanasios and Zaidi, Rida (2009): Relative indicators of default risk among UK residential mortgages.
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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 - Household Saving; 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|
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