An Empirical Analysis of Personal Bankruptcy and Delinquency
An Empirical Analysis of Personal Bankruptcy and Delinquency
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DOI：
10.2139/ssrn.209189
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发表时间：
1999-11
期刊：
影响因子：
--
通讯作者：
David B. Gross;Nicholas S. Souleles
中科院分区：
文献类型：
--
作者：
David B. Gross;Nicholas S. Souleles
本文使用一个新的信用卡账户面板数据集来分析信用卡拖欠、个人破产和信用风险模型的稳定性。我们估计持续时间模型的违约和评估不同的变量在预测违约的相对重要性。我们研究了违约倾向如何随着时间的推移而变化，解开了最近违约率上升的两个主要解释--借款人风险构成的恶化与借款人违约意愿的增加，这是由于违约成本的下降，包括社会、信息和法律的成本。即使在控制了风险构成和其他经济基本因素之后，违约倾向在1995年至1997年期间也显著增加。相比之下，信用限额的增加和其他风险构成的变化只能解释违约率变化的一小部分。标准违约模型似乎忽略了一个重要的随时间变化的违约因素，这与违约成本的下降是一致的。
This paper uses a new panel data set of credit card accounts to analyze credit card delinquency, personal bankruptcy, and the stability of credit risk models. We estimate duration models for default and assess the relative importance of different variables in predicting default. We investigate how the propensity to default has changed over time, disentangling the two leading explanations for the recent increase in default rates - a deterioration in the risk - composition of borrowers versus an increase in borrowers' willingness to default due to declines in default costs, including social, information, and legal costs. Even after controlling for risk-composition and other economic fundamentals, the propensity to default significantly increased between 1995 and 1997. By contrast, increases in credit limits and other changes in risk-composition explain only a small part of the change in default rates. Standard default models appear to have missed an important time-varying default factor, consistent with a decline in default costs.