Relative indicators of default risk among UK residential mortgages
AbstractWe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19619.
Date of creation: 22 Dec 2009
Date of revision:
residential mortgages; loan defaults; consumer behaviour; logistic regression; United Kingdom;
Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- D14 - Microeconomics - - Household Behavior - - - Personal Finance
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-BAN-2010-01-16 (Banking)
- NEP-RMG-2010-01-16 (Risk Management)
- NEP-URE-2010-01-16 (Urban & Real Estate Economics)
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- repec:fip:fedhpr:y:2008:i:may:p:171-192 is not listed on IDEAS
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- Catarina Figueira & John Glen & Joseph Nellis, 2005. "A Dynamic Analysis of Mortgage Arrears in the UK Housing Market," Urban/Regional 0509006, EconWPA.
- Lambrecht, Bart & Perraudin, William & Satchell, Stephen, 1997.
"Time to default in the UK mortgage market,"
Elsevier, vol. 14(4), pages 485-499, October.
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