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Econometric modeling risk of consumer loans

Author

Listed:
  • Nivorozhkina, Ludmila

    () (Rostov State Economic University, Rostov-on-Don, Russia)

  • Ovcharova, Lilia

    () (Higher School of Economics, Moscow, Russia)

  • Sinyavskaya, Tatiana

    () (Rostov State Economic University, Rostov-on-Don, Russia)

Abstract

The paper regards problems of risk estimation in consumer lending and credit scoring. Econometric bivariate probit models estimated on GGS data are used to evaluate risk of having bank debt on condition that household have bank loan. The results allow profiling safe and unsafe borrowers. Keywords: credit risk; credit scoring; bivariate probit model.

Suggested Citation

  • Nivorozhkina, Ludmila & Ovcharova, Lilia & Sinyavskaya, Tatiana, 2013. "Econometric modeling risk of consumer loans," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 30(2), pages 65-76.
  • Handle: RePEc:ris:apltrx:0210
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2013_2_65-76.pdf
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    References listed on IDEAS

    as
    1. Tamás Bartus, 2005. "Estimation of marginal effects using margeff," Stata Journal, StataCorp LP, vol. 5(3), pages 309-329, September.
    2. Lorenzo Cappellari & Stephen P. Jenkins, 2003. "Multivariate probit regression using simulated maximum likelihood," Stata Journal, StataCorp LP, vol. 3(3), pages 278-294, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Ozhegov, Evgeniy, 2017. "Estimating the demand function for differentiated product with endogenous characteristics and heterogeneity of preferences: The case of mortgage loans," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 45, pages 93-115.
    2. Lozinskaya, Agatha & Ozhegov, Evgeniy, 2014. "Estimation of mortgage lending credit risk," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 3-17.

    More about this item

    Keywords

    credit risk; credit scoring; bivariate probit model;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance

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