Estimating delinquency migration and the probability of default from aggregate data

Jeffrey R. Stokes () and Brent A. Gloy

Agricultural Finance Review, 2007, vol. 67, issue 1, pages 75-85

Abstract: Defaulting on a mortgage represents the ultimate consequence of past decisions to delay payment. While many modeling approaches are available to estimate the probability of default, most if not all require account-level data. Further, past research has not attempted to estimate the probability that a current loan will transition among delinquency states prior to default. In this paper, we present an econometric approach that makes use of publicly available aggregate data for estimating the probability of delinquency and the probability of default. The results suggest the approach may have merit for monitoring bank performance as well as usefulness for banks’ risk management efforts.

Keywords: Delinquency; Markov chain; Maximum entropy; Probability of default (search for similar items in EconPapers)
Date: 2007

Downloads: (external link)
http://www.emeraldinsight.com/Insight/viewContentI ... le&contentId=1784598 (text/html)
Cannot be freely downloaded

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eme:afrpps:v:67:y:2007:i:1:p:75-85

Ordering information: This journal article can be ordered from
Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
http://www.emeraldinsight.com/afr.htm

Access Statistics for this article

Agricultural Finance Review is edited by Professor Calum G. Turvey

More articles in Agricultural Finance Review from Emerald Group Publishing
Series data maintained by Rebecca Forster ().