Estimation of Household Dynamic Default Prediction Model
This paper examines the likelihood of household default caused by the dramatic increases of household debt.
Using a unique dataset including detailed consumer credit information, I develop the default model to estimate default
probability of household and estimate the variability of the model by recently increasing household debts. This paper
actually estimates the potential default probability of household though, because it is impossible to extract the data for the
real bankrupt household due to the strengthened act for personal credit information in Korea. This paper also computes the
potential default probability of household depending on the variation of macro economic factors by the stress test.
Keywords - default probability, household debt, consumer credit, stress