Assessing Credit Risk in Home Mortgage Lending: A Probabilistic Approach Using Stata
Date
2025-05
Authors
Cook, Katelyn
Major Professor
Crespi, John
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Abstract
This study explores the probability of home mortgage default using data from the Panel Study of Income Dynamics (PSID) and applies binary response models to evaluate the influence of both financial and demographic variables. Logistic and probit regression models were estimated in Stata, using over 61,000 observations from 2011 to 2021. Results reveal several financial variables are significant predictors of mortgage default. Demographic variables also show measurable effects, though effects vary by model. Both models achieved high overall classification accuracy. This research provides practical experience in building probability of default models and highlights key household variables affecting mortgage delinquency.
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CC0 1.0 Universal
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2025