Relative Indicators of Default Risk Among UK Residential Mortgages

43 Pages Posted: 27 Dec 2009

Date Written: December 22, 2009

Abstract

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

Suggested Citation

Zaidi, Rida and Mitropoulos, Atanasios, Relative Indicators of Default Risk Among UK Residential Mortgages (December 22, 2009). Available at SSRN: https://ssrn.com/abstract=1527354 or http://dx.doi.org/10.2139/ssrn.1527354

Rida Zaidi

Fitch Ratings Inc. ( email )

One state street plaza
New York, NY 10004
United States

Atanasios Mitropoulos (Contact Author)

Fitch Ratings Inc. ( email )

One state street plaza
New York, NY 10004
United States

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