An Empirical Analysis of Personal Bankruptcy and Delinquency
利用信用卡账户数据，分析信用卡违约和个人破产，评估不同变量对违约预测的重要性，并发现1995-1997年间违约倾向显著上升，标准模型遗漏了随时间变化的违约因素。
This article uses a new dataset of credit card accounts to analyze credit card delinquency, personal bankruptcy, and the stability of credit risk models. We estimate duration models for default and assess the relative importance of different variables in predicting default. We investigate how the propensity to default has changed over time, disentangling the two leading explanations for the recent increase in default rates—a deterioration in the risk composition of borrowers versus an increase in borrowers’ willingness to default due to declines in default costs. Even after controlling for risk composition and economic fundamentals, the propensity to default significantly increased between 1995 and 1997. Standard default models missed an important time-varying default factor, consistent with a decline in default costs.