Relative indicators of default risk among UK residential mortgages
We 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.
|Date of creation:||22 Dec 2009|
|Date of revision:|
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- 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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2008-59, Board of Governors of the Federal Reserve System (U.S.).
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- Yuliya Demyanyk & Otto Van Hemert, 2011.
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- Diaz-Serrano, Luis, 2005. "Income volatility and residential mortgage delinquency across the EU," Journal of Housing Economics, Elsevier, vol. 14(3), pages 153-177, September.
- Catarina Figueira & John Glen & Joseph Nellis, 2005. "A Dynamic Analysis of Mortgage Arrears in the UK Housing Market," Urban/Regional 0509006, EconWPA.
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