@article{ART002063266},
author={김문년 and Lee, Young-Man},
title={An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2015},
volume={87},
pages={17-32},
doi={10.15793/kspr.2015.87..002}
TY - JOUR
AU - 김문년
AU - Lee, Young-Man
TI - An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio
JO - The Korea Spatial Planning Review
PY - 2015
VL - 87
IS - null
PB - 국토연구원
SP - 17
EP - 32
SN - 1229-8638
AB - This study empirically analyzes the timing and hazard rates of arrears and default as well as the cross effects between the original DTI and LTV ratios, using individual residential mortgage dataset from a large commercial bank in Korea. This study utilizes the Cox’s proportional hazard model for its empirical research methodology. First, the results demonstrate that the arrears hazard rate stably maintains 0% from the issue date of mortgages for up to 12 months, gradually increases after that, and then sharply accelerates after 60 months. Moreover, the default hazard rate steadily retains 0% from the issue date of mortgages for up to 17 months, slowly grows after that, and then dramatically rises after 60 months as well. Second, the results show that both the original DTI and LTV ratio have critical values. The critical values of the original DTI ratio may be 30% in the arrears hazard rate and 40% in the default hazard rate. In addition, that of the original LTV ratio may be 40% in the arrears hazard rate and 50% in the default hazard rate. Third, the results demonstrate that more than 30% of the original DTI ratio and more than 40% of the original LTV ratio individually may be a trigger factor that ultimately increases arrears hazard rate. Furthermore, the results show that more than 40% of the original DTI ratio and more than 50% of the original LTV ratio respectively may be a trigger factor that rapidly swells default hazard rate. More importantly, the highest peak of default hazard rate is depicted when these two trigger factors appear simultaneously, which may therefore be called the “double-trigger effect”. Also, the results illustrate that the arrears hazard rate is more affected by the original DTI ratio than LTV ratio, and the default hazard rate is influenced thanks to both of them.
KW - Residential Mortgage;Arrears Hazard Rate;Default Hazard Rate;Proportional Hazard Model
DO - 10.15793/kspr.2015.87..002
ER -
김문년 and Lee, Young-Man. (2015). An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio. The Korea Spatial Planning Review, 87, 17-32.
김문년 and Lee, Young-Man. 2015, "An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio", The Korea Spatial Planning Review, vol.87, pp.17-32. Available from: doi:10.15793/kspr.2015.87..002
김문년, Lee, Young-Man "An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio" The Korea Spatial Planning Review 87 pp.17-32 (2015) : 17.
김문년, Lee, Young-Man. An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio. 2015; 87 17-32. Available from: doi:10.15793/kspr.2015.87..002
김문년 and Lee, Young-Man. "An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio" The Korea Spatial Planning Review 87(2015) : 17-32.doi: 10.15793/kspr.2015.87..002
김문년; Lee, Young-Man. An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio. The Korea Spatial Planning Review, 87, 17-32. doi: 10.15793/kspr.2015.87..002
김문년; Lee, Young-Man. An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio. The Korea Spatial Planning Review. 2015; 87 17-32. doi: 10.15793/kspr.2015.87..002
김문년, Lee, Young-Man. An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio. 2015; 87 17-32. Available from: doi:10.15793/kspr.2015.87..002
김문년 and Lee, Young-Man. "An Analysis on Timing and Hazard Rate of Arrears and Default in Residential Mortgages: Focus on Cross Effect between Original DTI and LTV Ratio" The Korea Spatial Planning Review 87(2015) : 17-32.doi: 10.15793/kspr.2015.87..002
