Paper Title :Estimation of Household Dynamic Default Prediction Model

Author :Junesuh Yi

Article Citation :Junesuh Yi , (2017 ) " Estimation of Household Dynamic Default Prediction Model " , International Journal of Management and Applied Science (IJMAS) , pp. 69-76, Volume-3,Issue-8

Abstract : 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

Type : Research paper

Published : Volume-3,Issue-8

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