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Abstract(s)
O estudo aprofundado nesta dissertação avalia os principais factores que contribuem para a ocorrência de incumprimento no crédito hipotecário por parte dos agregados familiares, colaborando positivamente na literatura acerca do assunto pois avalia não só os motivos que levam ao risco de crédito das famílias no sector imobiliário num todo, mas também analisa e compara designados subperíodos respeitantes ao período anterior à crise financeira de 2007-2008, durante, após e actualmente, relativamente à possibilidade e incidência desse incumprimento. Nesse sentido, são realizados dois modelos distintos de regressão logística, nos quais se inclui um número diferente de variáveis explicativas entre ambos. Para tal, foram usadas informações a respeito de 27.477 contractos de crédito hipotecário presentes nas bases de dados da Fannie Mae. Concluiu-se que as variáveis explicativas não divergem muito entre os dois modelos estimados, sendo as principais causadoras de incumprimento hipotecário o número de mutuários de um mesmo empréstimo, o valor original do mesmo, o rácio de loan to value e de debt to income, a taxa de juro do empréstimo, o credit score do titular e até mesmo o prazo do empréstimo. Quanto à vertente temporal verificou-se que os empréstimos concedidos nos anos respeitantes ao pico da crise financeira apresentam maior probabilidade de entrarem em default. Este é um tema amplamente estudado, particularmente desde que se deu a crise de 2007- 2008. Nesta dissertação procuramos contribuir, de alguma forma, para a literatura no que a esta matéria concerne.
In-depth study in this dissertation assesses the main factors that contribute to the occurrence of mortgage defaults by households, collaborating positively in the literature on the subject because it evaluates not only the reasons that lead to the credit risk of family loans in the real estate sector in whole, but also analyses and compares designated sub- periods for the period preceding the 2007-2008 financial crisis, during the crisis, after the crisis and present, related to the possibility and incidence of such default. In this sense, two distinct models of logistic regression models are performed, which include a different number of explanatory variables between them. To do so, information about 27.477 mortgage lending agreements present in Fannie Mae’s databases was used. It was concluded that the explanatory variables do not diverge much between the two estimated models, and the main causes of mortgage default are the number of borrowers of the same loan, the original value of it, the ratios of loan to value and the debt to income, the interest rate of the loan, the credit score of the holder and even the original term of the loan. As far as the time loop, has been verified that the years of the peak of the financial crisis have a greater probability of entering default. This is a widely studied topic, particularly since the 2007-2008 crisis. In this dissertation we try to contribute, in some way, to the literature regarding this subject.
In-depth study in this dissertation assesses the main factors that contribute to the occurrence of mortgage defaults by households, collaborating positively in the literature on the subject because it evaluates not only the reasons that lead to the credit risk of family loans in the real estate sector in whole, but also analyses and compares designated sub- periods for the period preceding the 2007-2008 financial crisis, during the crisis, after the crisis and present, related to the possibility and incidence of such default. In this sense, two distinct models of logistic regression models are performed, which include a different number of explanatory variables between them. To do so, information about 27.477 mortgage lending agreements present in Fannie Mae’s databases was used. It was concluded that the explanatory variables do not diverge much between the two estimated models, and the main causes of mortgage default are the number of borrowers of the same loan, the original value of it, the ratios of loan to value and the debt to income, the interest rate of the loan, the credit score of the holder and even the original term of the loan. As far as the time loop, has been verified that the years of the peak of the financial crisis have a greater probability of entering default. This is a widely studied topic, particularly since the 2007-2008 crisis. In this dissertation we try to contribute, in some way, to the literature regarding this subject.
Description
Mestrado em Contabilidade e Gestão das Instituições Financeiras
Keywords
Incumprimento Risco de crédito Sector imobiliário Hipoteca Crise Famílias Default Credit risk Real estate Mortgage Crisis Households