Credit Risk Modeling Of Residential Mortgage Lending In Russia
AbstractThis paper analyzes the problems of credit risk modeling of residential mortgage lending in Russia. Using unique mortgage loan and macro data from a regional branch of the Agency of Home Mortgage Lending (2008-2012), we find that borrower and mortgage loan characteristics affect the loan performance and play an important role in predicting default as well as a macroeconomic situation. On the residential mortgage market, borrowers with undeclared income have the lowest probability of default, mainly explained by the difference in declared and real income. Obtained results are robust under parametric and semiparametric specifications with correction for selectivity bias.
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Bibliographic InfoPaper provided by National Research University Higher School of Economics in its series HSE Working papers with number WP BRP 30/FE/2014.
Length: 38 pages
Date of creation: 2014
Date of revision:
Publication status: Published in WP BRP Series: Financial Economics / FE, April 2014, pages - 38
credit risk; default; mortgage lending; sample selection; Russia;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-04 (All new papers)
- NEP-BAN-2014-05-04 (Banking)
- NEP-CIS-2014-05-04 (Confederation of Independent States)
- NEP-TRA-2014-05-04 (Transition Economics)
- NEP-URE-2014-05-04 (Urban & Real Estate Economics)
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