Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans

Correa, Arnildo da Silva; Marins, Jaqueline Terra Moura; Neves, Myrian Beatriz Eiras das; Silva, Antonio Carlos Magalhães da

doi:10.1590/s0034-71402014000300003

Cited by 5 publications

(4 citation statements)

References 30 publications

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“…We also corroborate some findings of other studies. For instance, as in Correa et al (2014), we find that women and older borrowers have a lower probability of default.…”

Section: General Resultsmentioning

confidence: 56%

“…They have been applied to specific different credit modalities, as credit card loans (Leow and Crook 2016) and personal loans (Stepanova and Thomas 2002). For the Brazilian case, Correa et al (2014) used microdata to study the credit default in consumer credit and vehicles financing, with particular emphasis on the influence of the business cycles. Among the explanatory variables used in these studies, there are borrower-related variables as age, gender and income; transaction-related variables (e.g., operation rating); and macroeconomic indicators, as inflation and unemployment rate.…”

Section: Introductionmentioning

confidence: 99%

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Default contagion among credit modalities: evidence from Brazilian data

Alexandre¹,

Brito²,

Martins³

2018

JCR

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The aim of this paper is to assess the impact of the default of some personal credit modality in the future default of the other modalities. Using Brazilian microdata, we run a logistic regression to estimate the probability of default in a given credit modality, including among the explanatory variables the personal overdue exposure in the other credit modalities. Our results show that such effect is positive and significant, although quantitatively heterogeneous. We also discuss the rationale behind these results. Specifically, it was found that financing credit modalities (vehicle and real estate financing) contaminate more the other credit modalities, as their default may bring to the debtor the loss of the financed good. Moreover, riskier loan categories (overdraft, non-payroll-deducted personal credit and credit card) are more contaminated by the default of other modalities, what is explained by the fact that defaulted individuals have a limited access to less risky credit modalities.

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“…We also corroborate some findings of other studies. For instance, as in Correa et al (2014), we find that women and older borrowers have a lower probability of default.…”

Section: General Resultsmentioning

confidence: 56%

Section: Introductionmentioning

confidence: 99%

Default contagion among credit modalities: evidence from Brazilian data

Alexandre¹,

Brito²,

Martins³

2018

JCR

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“…Their analysis is focused on demand of credit rather than default waves related to the business cycles. Correa, et al (2011), provide evidence about the relationship between a positive shock in the unemployment rate and the increase of credit default. More general, they provide evidence of a negative relationship between economic activity and credit performance.…”

Section: Introductionmentioning

confidence: 99%

Consumer credit performance over the business cycle In Colombia : some empirical facts

Arango-Thomas¹,

Arango²,

Cardona-Sosa³

2015

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This paper studies the behavior of the survival function of accruing loans during the slowdown experienced by the Colombian economy between January-2008 and March-2009 as documented by Alfonso et al. (2013). We use a dataset with information of different vintage loans between July-2007 and March-2014 from a private credit union that operates in Medellín, the second largest city in Colombia, and its metropolitan area. The analysis suggests that the survival function of accruing loans reduces before and during the slowdown event: if the probability of survival at month ten of a consumer credit vintage is below the 97.5% and below 95% at month fifteen, the probability of a future slowdown is not negligible.

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“…Após a rotação dos eixos, na tentativa de interpretação dos fatores, estes foram denominados como atividade econômica e setor externo, câmbio e mercado de capitais, setor público e instituições financeiras, conforme demonstrado na Tabela 9. (AVEN, 2008;CROOK, 2009;BUNN et al, 2005;CORREA et al, 2011;HAMERLE et al, 2011;SCHECHTMAN;GAGLIANONE, 2012;CASTRO, 2013 Foi possível notar uma aderência do valor obtido quando comparado com outros estudos.…”

Section: Análise Fatorial E Modelo Arimax Com Fatoresunclassified

Modelos para teste de estresse do sistema financeiro no Brasil

Zaniboni¹

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Aos meus pais e meu marido Rafael Agradecimentos À Deus, por iluminar o meu caminho e pela força no desempenho de todas as minhas atividades. Ao meu pai, Amilton e minha mãe, Adelaide, pela força diária e apoio durante toda a minha vida. À Profa. Dra. Alessandra Montini, que se dedicou muito no seu papel de orientadora, e a quem sou muito grato por todo o aprendizado obtido no curso de Mestrado. Ao meu marido, Rafael Camanho, pelo apoio constante durante o curso de mestrado. Ao meu sogro, Roberto Camanho e sogra, Maria Lúcia Camanho pela ajuda e orientação nesses 6 anos. Aos meus cunhados, Thomaz Camanho e Fernanda Paixão, pela compreensão do tempo necessário de dedicação. À banca examinadora na qualificação, Profa. Liliam Sanchez Carrete e Prof. José Roberto Ferreira Savoia, por todas as contribuições dadas e por todo o apoio durante a execução do trabalho.

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Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans

Cited by 5 publications

References 30 publications

Default contagion among credit modalities: evidence from Brazilian data

Default contagion among credit modalities: evidence from Brazilian data

Consumer credit performance over the business cycle In Colombia : some empirical facts

Modelos para teste de estresse do sistema financeiro no Brasil

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