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Análisis de Riesgo de los Deudores Hipotecarios en Chile

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  • Andrés Alegría
  • Jorge Bravo

Abstract

In this paper we characterize the bank mortgage borrowers in Chile and propose models to assess their credit risk. In particular, we study the mortgagors’ payment profile based on an empirical analysis that includes unnamed information of more than 150,000 new debtors during the period 2012-2014. Both the specify features of mortgage debt as initial loan amount and maturities, as well as debtor´s characteristics as credit history, illiquidity and coverage ratio (the number of months of mortgage payments a debtor can cover with his credit line, a proxy for its financial burden) are related to the probability of mortgage default

Suggested Citation

  • Andrés Alegría & Jorge Bravo, 2015. "Análisis de Riesgo de los Deudores Hipotecarios en Chile," Working Papers Central Bank of Chile 766, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:766
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_766.pdf
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    References listed on IDEAS

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    1. Rodrigo Alfaro A. & David Pacheco L. & Andrés Sagner T, 2011. "Dinámica de la Tasa de Incumplimiento de Créditos de Consumo en Cuotas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 14(2), pages 119-124, August.
    2. Rodrigo Alfaro & Natalia Gallardo, 2012. "The Determinants of Household Debt Default," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 27(1), pages 55-70, April.
    3. Patrick Bajari & Chenghuan Sean Chu & Minjung Park, 2008. "An Empirical Model of Subprime Mortgage Default From 2000 to 2007," NBER Working Papers 14625, National Bureau of Economic Research, Inc.
    4. Ronel Elul & Nicholas S. Souleles & Souphala Chomsisengphet & Dennis Glennon & Robert Hunt, 2010. "What "Triggers" Mortgage Default?," American Economic Review, American Economic Association, vol. 100(2), pages 490-494, May.
    5. Carlos Madeira, 2014. "El Impacto del Endeudamiento y Riesgo de Desempleo en la Morosidad de las Familias Chilenas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(1), pages 88-102, April.
    6. Camilo Sarmiento, 2012. "The role of the economic environment on mortgage defaults during the Great Recession," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 243-250, February.
    7. Christopher Mayer & Karen Pence & Shane M. Sherlund, 2009. "The Rise in Mortgage Defaults," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 27-50, Winter.
    8. Ronel Elul, 2010. "What have we learned about mortgage default?," Business Review, Federal Reserve Bank of Philadelphia, issue Q4, pages 12-19.
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