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首页> 外文期刊>The Journal of real estate finance and economics >Positive Payment Shocks, Liquidity and Refinance Constraints and Default Risk of Home Equity Lines of Credit at End of Draw
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Positive Payment Shocks, Liquidity and Refinance Constraints and Default Risk of Home Equity Lines of Credit at End of Draw

机译：积极支付冲击，流动性和再融资约束以及绘制结束时净值信用的默认风险

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摘要

Using a unique and comprehensive dataset of loan-level home equity lines of credit serviced by large US national banks, we confirm that default risk of home equity lines of credit increases at end of draw. More importantly, we quantify the increase in default risk with the size of positive payment shock at end of draw. Furthermore, we find the effects are more pronounced when borrowers are under greater liquidity or refinance constraints and less pronounced if banks manage the credit risk proactively by freezing the credit lines. Our findings are robust across various model specifications and risk segments, payment shock definitions, and after controlling for sample selection bias from HELOC payoffs. These results have important implications for evaluating and managing HELOC credit risk: (i) the need to capture payment shocks, liquidity and refinance constraints in credit risk models, (ii) the benefit of smoothing payment shocks in contract design as well as the workout process, and (iii) the need to consider proper timing for tightening HELOC lending standards.
机译：使用大型美国国民银行提供的独特和全面的贷款级家庭股权信用额度，我们确认违约信贷额度的违约风险增加。更重要的是，我们量化违约风险的增加，绘制结束时的正支付冲击规模。此外，当借款人在更大的流动性或再融资限制和不那么明显的情况下，如果银行通过冻结信用额度，借款人在积极管理信贷风险的情况下，我们发现效果更加明显。我们的发现在各种型号规格和风险段，支付冲击定义以及控制来自Heloc收益的样本选择偏差之后，我们的调查结果非常强大。这些结果对评估和管理HELOC信用风险有重要意义：（i）需要捕获信用风险模型中的支付冲击，流动性和再融资限制，（ii）在合同设计中平滑支付冲击以及锻炼过程中的利益（iii）（iii）需要考虑收紧HENOC贷款标准的适当时间。

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