Estimation of mortgage lending credit risk

Agatha Lozinskaya () and Evgeniy Ozhegov
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Agatha Lozinskaya: Higher School of Economics (Perm Branch)
Authors registered in the RePEc Author Service: Agatha M. Poroshina

Applied Econometrics, 2014, vol. 35, issue 3, 3-17

Abstract: The paper analyzes the problems of credit risk modeling on the Russian residential mortgage market. The structural model of the credit risk evaluation, which controls for the sample selection bias and endogeneity, is presented. It estimates based on the regional mortgage data. Obtained results can be used to develop the effective risk management systems in credit organizations.

Keywords: credit risk; mortgage lending; sample selection; endogeneity (search for similar items in EconPapers)
JEL-codes: C36 D12 R20 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0241

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