Description

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