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A Study on the Sig

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r Default il1 Reside

n

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ortgages*

Hsien..Chueh Pet

er

Yang, Tso**

y

u Cal

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in

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in*, an**

d

Tsu

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Hao

Chen

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**

Abstr

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This study explores three factors affecting mortgage default behavior, including

"characteristics of borrowers", "loan contract" and "macro-economic indices". We ollected 2,658 terminated mortgage loans from a large commercial bank in Taiwan,

and employed Logistic regression model for testing the significance of variables, and used Akaikes' infonnation criterion (AlC), Bayesian information criterion (BIC) and

receiver operating characteristics (ROC) curve for comparison. Results show tbat "macro-economic indices" can serve as an excellent predictor for default behavior. This conclusion also explains why some foreign banks in Taiwan ceased their mortgage business in the mid 1990s while the economy in Taiwan was experiencing a decline. Keywords: Residential Mortgage, Akaikes' lnfonnation Criterion (AlC), Bayesian

Information Criterion (BIC), Receiver Operating Characteristics (ROC)

Curve

* T

he authors are grateful to the National Science Foundation of Taiwan for the fimwcial support ( NSC

97-24 JO-H-004-107) on this study.

** Associate Professor, Department of Risk Management and Insurance, National Kaohsiung First Univers.ity of Science and Tech.nology

TEL : (07) 6011000#4501 ' E-mail : hcyang@ccms.nkfust.edu.tw

***

Professor, Department of Land Economics, National ChengCbi University, Corresponding Author TEL: (02) 29393091#51142 ' E-mail: tsoyulin@nccu.edu.lw

**** Assistant Professor, Department of Business Administration, Shu-Te University TEL: (07) 61 58000#3107 ' E-mail : thchen@mail.stu.cdu.tw

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