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Estimation of mortgage lending credit risk

Author

Listed:
  • Lozinskaya, Agatha

    () (Higher School of Economics (Perm Branch))

  • Ozhegov, Evgeniy

    () (Higher School of Economics (Perm Branch))

Abstract

The paper analyzes the problems of credit risk modeling on the Russian residential mortgage market. The structural model of the credit risk evaluation, which controls for the sample selection bias and endogeneity, is presented. It estimates based on the regional mortgage data. Obtained results can be used to develop the effective risk management systems in credit organizations.

Suggested Citation

  • Lozinskaya, Agatha & Ozhegov, Evgeniy, 2014. "Estimation of mortgage lending credit risk," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 3-17.
  • Handle: RePEc:ris:apltrx:0241
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    File URL: http://pe.cemi.rssi.ru/pe_2014_3_03-17.pdf
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    References listed on IDEAS

    as
    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
    2. 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.
    3. Orazio P. Attanasio & Pinelopi Koujianou Goldberg & Ekaterini Kyriazidou, 2008. "Credit Constraints In The Market For Consumer Durables: Evidence From Micro Data On Car Loans," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 49(2), pages 401-436, May.
    4. Anthony M.J. Yezer & Robert F. Phillips & Robert P. Trost, 1994. "Bias in estimates of discrimination and default in mortgage lending: the effects of simultaneity and self-selection," Proceedings, Federal Reserve Bank of Philadelphia, pages 197-222.
    5. Mitali Das & Whitney K. Newey & Francis Vella, 2003. "Nonparametric Estimation of Sample Selection Models," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 33-58.
    6. James R. Follain, 1990. "Mortgage Choice†," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(2), pages 125-144.
    7. Munnell, Alicia H. & Geoffrey M. B. Tootell & Lynn E. Browne & James McEneaney, 1996. "Mortgage Lending in Boston: Interpreting HMDA Data," American Economic Review, American Economic Association, vol. 86(1), pages 25-53, March.
    8. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
    9. Patrick Bajari & Chenghuan Sean Chu & Minjung Park, 2008. "An Empirical Model of Subprime Mortgage Default From 2000 to 2007," NBER Working Papers 14625, National Bureau of Economic Research, Inc.
    10. Brent W. Ambrose & Michael LaCour-Little & Anthony B. Sanders, 2004. "The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(4), pages 541-569, December.
    11. Stephen L Ross, 2000. "Mortgage Lending, Sample Selection and Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(4), pages 581-621.
    12. Robert F. Phillips & Anthony M.J. Yezer, 1996. "Self-Selection and Tests for Bias and Risk in Mortgage Lending: Can You Price the Mortgage If You Don't Know the Process?," Journal of Real Estate Research, American Real Estate Society, vol. 11(1), pages 87-102.
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    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. repec:ris:apltrx:0329 is not listed on IDEAS
    3. Rumyantseva, Ekaterina & Furmanov, Kirill, 2016. "Modeling mortgage survival," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 41, pages 123-143.

    More about this item

    Keywords

    credit risk; mortgage lending; sample selection; endogeneity;

    JEL classification:

    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General

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