A portfolio view of consumer credit

• 成果类型: Article; Proceedings Paper
• 署名作者: Musto, DK; Souleles, NS
• 署名单位: National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.10.009
• 发表日期: 2006
• 页码: 59-84
• 关键词: credit supply; Consumer credit; default risk; Credit scores; loan portfolio analysis

摘要

To compute risk-adjusted returns and gauge the volatility of their portfolios, lenders need to know the covariances of their loans' returns with aggregate returns. We use unique credit bureau data to measure individuals' 'covariance risk', i.e., the covariance of their default risk with aggregate consumer default rates, and more generally to analyze the distribution of credit, including the effects of credit scores. We find significant heterogeneity in covariance risk across consumers. Also, the amount of credit they obtain significantly increases with their credit scores, and decreases with their covariance risk (especially revolving credit), though the effect of covariance risk is smaller. (c) 2005 Elsevier B.V. All rights reserved.