Default matrices: A complete measurement of banks’ consumer credit delinquency

Ricardo Schechtman

Journal of Financial Stability, 2013, vol. 9, issue 4, 460-474

Abstract: Despite the manifold utilities of monitoring credit default rates, little attention is usually devoted to the underlying default definition. This paper proposes working simultaneously with different default severities, related to several past-due ranges, by means of transition matrices (to be named default matrices). In this way, default, as well as recovery, is depicted in a multidimensional flow, with the purpose of avoiding missing relevant information. The challenge lies on performing comparisons between default matrices, for which new metrics are proposed. In this paper, default matrices are built to measure consumer credit delinquency at four large Brazilian banks, allowing a detailed comparison of their credit migration experiences. The study is also able to draw relevant information from comparisons between estimations techniques (discrete and survival approaches) and between default criteria.

Keywords: Default severities; Transition matrices; Mobility metrics; Banks (search for similar items in EconPapers)
JEL-codes: C13 C41 G21 G32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1572308913000508
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:finsta:v:9:y:2013:i:4:p:460-474

DOI: 10.1016/j.jfs.2013.07.001

Access Statistics for this article

Journal of Financial Stability is currently edited by I. Hasan, W. C. Hunter and G. G. Kaufman

More articles in Journal of Financial Stability from Elsevier
Bibliographic data for series maintained by Catherine Liu ().