Simulating the covariance risk of consumer debt portfolios

  • Carlos Madeira
  • Published 2014

Abstract

Consumer loan risk is hard to predict, since loans are heterogeneous, have no measurable prices in financial markets and may be significantly correlated with macro events. This work proposes a heterogeneous agents’model of household credit risk, with shocks to both labor income and credit access. Using the Chilean Household Finance Survey I simulate the… (More)

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