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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]

Author

Listed:
  • Mermelstein, David A.

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.

Suggested Citation

  • Mermelstein, David A., 2006. "Defaults en carteras hipotecarias, macroeconomía y arreglos institucionales: Más allá de los modelos de Credit-Scoring tradicionales
    [Mortgage defaults, macroeconomics, and institutional arrangemen
    ," MPRA Paper 7535, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:7535
    as

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    File URL: https://mpra.ub.uni-muenchen.de/7535/1/MPRA_paper_7535.pdf
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    References listed on IDEAS

    as
    1. Mark Schreiner, 2001. "A Scoring Model of the Risk of Costly Arrears at a Microfinance Lender in Bolivia," Development and Comp Systems 0109005, EconWPA.
    2. Padilla, A. Jorge & Pagano, Marco, 2000. "Sharing default information as a borrower discipline device," European Economic Review, Elsevier, vol. 44(10), pages 1951-1980, December.
    3. Mark Schreiner, 2001. "Credit Scoring for Microfinance: Can It Work?," Development and Comp Systems 0108003, EconWPA, revised 27 Dec 2001.
    4. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    mortgage default; credit scoring; credit markets; institutional arrangements;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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