Relative indicators of default risk among UK residential mortgages

Atanasios Mitropoulos and Rida Zaidi ()

MPRA Paper from University Library of Munich, Germany

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 (search for similar items in EconPapers)
JEL-codes: D14 G01 G21 (search for similar items in EconPapers)
Date: 2009-12-22
New Economics Papers: this item is included in nep-ban, nep-rmg and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19619

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