| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11735 |
| 来源ID | Working Paper 11735 |
| A Portfolio View of Consumer Credit | |
| David K. Musto; Nicholas S. Souleles | |
| 发表日期 | 2005-11-07 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 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. Cross-sectional differences in these covariances also provide insight into the nature of the shocks hitting different types of consumers. We use a unique panel dataset of credit bureau records to measure the 'covariance risk' of individual consumers, i.e., the covariance of their default risk with aggregate consumer default rates, and more generally to analyze the cross-sectional distribution of credit, including the effects of credit scores. We obtain two key sets of results. First, there is significant systematic heterogeneity in covariance risk across consumers with different characteristics. Consumers with high covariance risk tend to also have low credit scores (high default probabilities). Second, the amount of credit obtained by consumers significantly increases with their credit scores, and significantly decreases with their covariance risk (especially revolving credit), though the effect of covariance risk is smaller in magnitude. |
| 主题 | Macroeconomics ; Consumption and Investment ; Monetary Policy ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w11735 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569385 |
| 推荐引用方式 GB/T 7714 | David K. Musto,Nicholas S. Souleles. A Portfolio View of Consumer Credit. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11735.pdf（189KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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