Relative Indicators of Default Risk Among UK Residential Mortgages
43 Pages Posted: 27 Dec 2009
Date Written: December 22, 2009
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.
Keywords: residential mortgages, loan defaults, consumer behaviour, logistic regression, United Kingdom
JEL Classification: D14, G01, G21
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