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Defaults en carteras hipotecarias, macroeconomía y arreglos institucionales: Más allá de los modelos de Credit-Scoring tradicionales
[Mortgage defaults, macroeconomics, and institutional arrangements: Beyond the standard Credit Scoring]

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Author Info
Mermelstein, David A.

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Abstract

This paper explores determinants of mortgage default, enlightening the transmission mechanisms between the economic cycle, institutional arrangements and the microeconomic event of individual default. It revises the scope and limitations of standard credit-scoring models, that is those generic classification models used by banks to discriminate good from bad debtors. Starting from a microeconomic model of mortgage default, it is shown that there will be some level of strategic defaults, even in a hypothetical world in which standard Credit-Scoring models work perfectly. That means a specification error in standard models, which only capture the solvency-tied fundamentals of repayment, but no the strategic ones triggered by macroeconomic and institutional factors. Some alternative methods and policy measures are suggested.

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File URL: http://mpra.ub.uni-muenchen.de/7535/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7535.

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Date of creation: Nov 2006
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Handle: RePEc:pra:mprapa:7535

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Related research
Keywords: mortgage default credit scoring credit markets institutional arrangements

Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

References listed on IDEAS
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  1. Mark Schreiner, 2001. "Credit Scoring for Microfinance: Can It Work?," Development and Comp Systems 0108003, EconWPA, revised 27 Dec 2001. [Downloadable!]
  2. Mark Schreiner, 2001. "A Scoring Model of the Risk of Costly Arrears at a Microfinance Lender in Bolivia," Development and Comp Systems 0109005, EconWPA. [Downloadable!]
  3. Padilla, A.J. & Pagano, M., 1999. "Sharing Default Information as a Borrower Discipline Device," Papers 9911, Centro de Estudios Monetarios Y Financieros-.
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