Credit Scoring and Competitive Pricing Default Risk: Positive and Normative Implications

这个项目的目标是了解消费者破产。从2006年底开始的次级抵押贷款市场崩溃中可以清楚地看到，消费者破产对美国经济的健康以及政府对危机的反应具有重要意义。这项研究提供了一个经济框架，以了解家庭违约的原因，以及金融机构如何定价时，有违约风险的消费贷款。 在实践中，消费者的信用记录包括个人过去的信用支付和不利事件（如破产）的详细记录。这些详细信息由个人的信用评分（300-850之间的数字）汇总，该评分衡量个人违约的可能性。分数越高，个人违约的可能性就越小。次级贷款借款人的信用评分通常为620或更低。为了补偿贷款人的违约风险，给分数低的人的贷款利率通常很高。要了解这些做法，本项目提供了一个模型，无担保消费信贷，借款人有法律的选择违约和贷款人学习从个人的借款和还款行为，他的不可观察的特点，以价格贷款在竞争激烈的市场。该模型被用来阐明消费者福利的收益不确定性的存在，并研究在监管影响消费者债务，包括破产法的变化的后果。具体来说，该模型有助于回答三个问题。第一，鉴于难以评估次级借款人的信誉，竞争性信贷市场是否有可能支持向其提供贷款？第二，当面对数据时，模型能否重现关键的破产和信用评分事实？第三，像《公平信用报告法》（Fair Credit Reporting Act）这样的法律的限制（该法案要求破产等不良信用信息在一定年限后从个人记录中删除）是否有助于改善福利？为了解释为什么需要一个模型来回答第三个问题，沃顿商学院的大卫穆斯托（David Musto）已经提供了经验证据，表明取消破产标志会导致过度信贷，增加最终违约的可能性。这是《公平信用报告法》具有真实的经济效果的具体证据。正如穆斯托所说，他的发现表明市场效率是相反的。一方面，在一个信息不完全的世界里，法律的取消破产标志为那些经历过不利事件的家庭提供了保险或“新的开始”，而竞争性中介机构无法提供这种保险。另一方面，延长破产标志在信用记录上的保留时间，可以提供正确的激励，使人们不违约。最后，需要一个根据真实的世界数据校准的模型来评估与这些权衡相关的福利收益。这项研究的智力价值在于，它可能是第一个将一般均衡理论与信用评分和消费者破产数据联系起来的定量模型。该提案的更广泛影响可能有助于政策制定者了解破产法如何影响向家庭提供信贷，并有助于贷款机构评估家庭的信誉。

The goal of this project is to understand consumer bankruptcy. As is clear from the meltdown in the subprime mortgage market beginning in late 2006, consumer bankruptcy has important implications for the health of the U.S. economy and in turn government responses to the crisis. This research provides an economic framework to understand the reasons households default and how financial institutions price their consumer loans when there is risk of default. In practice, a consumer's credit history includes detailed records of the individual's past credit payments and adverse events such as bankruptcy. This detailed information is summarized by an individual's credit score (a number between 300-850) which gauges the likelihood that an individual will default. The higher the score, the less likely an individual will default. Subprime borrowers typically have credit scores of 620 or lower. Interest rates on loans to people with low scores are typically high in order to compensate the lender for the risk of default. To understand these practices, this project provides a model of unsecured consumer credit where borrowers have the legal option to default and lenders learn from an individual's borrowing and repayment behavior about his unobservable characteristics in order to price loans in a competitive market. The model is used to shed light on consumer welfare in the presence of earnings uncertainty and to study the consequences of variations in regulation affecting consumer debt including bankruptcy law.Specifically, the model helps answer three questions. First, is it possible for competitive credit markets to support lending to subprime borrowers given that it is difficult to assess their creditworthiness? Second, can the model reproduce key bankruptcy and credit scoring facts when confronted with data? Third, are legal restrictions like the Fair Credit Reporting Act (which requires adverse credit information like a bankruptcy to be stricken from one's record after a certain number of years) welfare improving? To see why a model is necessary to answer the third question, there is already empirical evidence, provided by David Musto of the Wharton School, that the removal of the bankruptcy flag leads to excessive credit, increasing the eventual probability of default. This is concrete evidence that the Fair Credit Reporting Act has real economic effects. As Musto suggests, his findings indicate market efficiency in reverse. On the one hand, in a world of imperfect information, the legal removal of a bankruptcy flag provides insurance or a "fresh start" to households who have experienced adverse events in situations where competitive intermediaries cannot provide such insurance. On the other hand, extending the length of time that a bankruptcy flag remains on one's credit record provides the right incentives not to default. In the end, a model calibrated to real world data is necessary to assess the welfare gains associated with these tradeoffs.The intellectual merit of the research is the development of what may be the first quantitative model linking general equilibrium theory with data on credit scoring and consumer bankruptcy. The broader impact of the proposal may be of use to policymakers trying to understand how bankruptcy law affects the extension of credit to households and to lending institutions trying to assess household creditworthiness.