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首页> 外文期刊>Journal of banking & finance >Credit risk modelling under recessionary and financially distressed conditions
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Credit risk modelling under recessionary and financially distressed conditions

机译：经济衰退和财务困境条件下的信用风险建模

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This paper provides clear cut evidence that economic recession and distressed financial conditions, as well as political instability constitute the key factors for mortgage default. Banning foreclosure procedures, often adopted by governments to mitigate the effects of the above conditions on loan defaulting, are found to positively influence the loan default probability, and thus they make efforts of banks to restructure (or refinance) mortgage loans a difficult task. Our results add support to the view that foreclosure moratorium may raise moral hazard incentives that borrowers will not maintain their payments in long run. The empirical analysis of the paper is based on an extension of the discrete-time survival analysis model which allows for a structural break in its baseline hazard function and a unique set of individual loan accounts. We also consider alternative specifications of the binary link function between default events and covariates. Asymmetric link functions are found to be more appropriate under financial distressed conditions. (C) 2017 Elsevier B.V. All rights reserved.
机译：本文提供了明确的证据，表明经济衰退和财务状况不佳以及政治不稳定是抵押贷款违约的关键因素。人们发现，政府通常采取的取缔止赎程序来减轻上述条件对贷款违约的影响，从而对贷款违约概率产生积极影响，从而使银行努力重组（或再融资）抵押贷款成为一项艰巨的任务。我们的结果为以下观点提供了支持：暂停抵押品赎回权的暂停可能会提高道德风险诱因，即借款人将长期维持其付款。本文的经验分析是基于离散时间生存分析模型的扩展，该模型允许其基线风险函数结构上的突破以及一组独特的个人贷款帐户。我们还考虑了默认事件和协变量之间的二进制链接函数的替代规范。发现非对称链接功能在财务困难的情况下更为合适。 （C）2017 Elsevier B.V.保留所有权利。

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