An Analysis and Risk Modeling on Mortgage Payment Defaults in an Emerging Market

22 Pages Posted: 22 Jun 2015

See all articles by Omer Gebizlioglu

Omer Gebizlioglu

Kadir Has University - Department of International Trade and Finance

Belma Ozturkkal

Kadir Has University Istanbul, Turkey

Date Written: June 22, 2015

Abstract

This paper presents an analysis and default risk modeling on the non-performing loans of an emerging mortgage market. The analysis and the model, unprecedented for the market under study, utilize a large data set over several years with twenty-six variables that are contained in almost a hundred thousand records about the mortgage loan borrowers. The descriptive part of the analyses shows a statistical summary of all the available information on loans, defaults and loss exposures. The structure of the relation between the loan defaults and the borrower features is analyzed in detail with regression and logistic regression models. The exact and explicit probability distributions are derived for the default counts. Then, a compound Binomial distribution model is presented for the loss amounts arising from default events. Upon the obtained probability distributions, policy implications are discussed for the default risk management purposes.

Keywords: mortgage market; mortgage; lending; risk; reserve requirement

JEL Classification: G21

Suggested Citation

Gebizlioglu, Omer and Ozturkkal, Belma, An Analysis and Risk Modeling on Mortgage Payment Defaults in an Emerging Market (June 22, 2015). Available at SSRN: https://ssrn.com/abstract=2621384 or http://dx.doi.org/10.2139/ssrn.2621384

Omer Gebizlioglu

Kadir Has University - Department of International Trade and Finance ( email )

Kadir Has Caddesi, Cibali
Istanbul, 34083
Turkey

Belma Ozturkkal (Contact Author)

Kadir Has University Istanbul, Turkey ( email )

Kadir Has Caddesi Cibali
Istanbul
Turkey
+90 212 533 5765 (Phone)

HOME PAGE: http://https://mgmt.khas.edu.tr/en/academic/2008

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