Alexandre, Michel and Antônio Silva Brito, Giovani and Cotrim Martins, Theo (2017): Default contagion among credit modalities: evidence from Brazilian data.
The aim of this paper is to assess the impact of the default of some personal credit modality in the future default of the other modalities. Using Brazilian microdata, we run a logistic regression to estimate the probability of default in a given credit modality, including among the explanatory variables the personal overdue exposure in the other credit modalities. Our results show that such effect is positive and significant, although quantitatively heterogeneous. We also discuss the rationale behind these results. Specifically, it was found that financing credit modalities (vehicle and real estate financing) contaminate more the other credit modalities, as their default may bring to the debtor the loss of the financed good. Moreover, riskier loan categories (overdraft, non-payroll-deducted personal credit and credit card) are more contaminated by the default of other modalities, what is explained by the fact that defaulted individuals have a limited access to less risky credit modalities.
|Item Type:||MPRA Paper|
|Original Title:||Default contagion among credit modalities: evidence from Brazilian data|
|Keywords:||Credit default contagion; debtor approach; transaction approach|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics
G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation
G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation
|Depositing User:||Michel Alexandre|
|Date Deposited:||15 Feb 2017 16:53|
|Last Modified:||15 Feb 2017 16:54|
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