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An Empirical Analysis of Personal Bankruptcy and Delinquency
Open accessAbstract
This article uses a new dataset of credit card accounts to analyze credit card delinquency, personal bankruptcy, and the stability of credit risk models. We estimate duration models for default and assess the relative importance of different variables in predicting default. We investigate how the propensity to default has changed over time, disentangling the two leading explanations for the recent increase in default rates—a deterioration in the risk composition of borrowers versus an increase in borrowers’ willingness to default due to declines in default costs. Even after controlling for risk composition and economic fundamentals, the propensity to default significantly increased between 1995 and 1997. Standard default models missed an important time-varying default factor, consistent with a decline in default costs.
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Research works printed but not linked: 10
- Ausubel, 1997, Credit Card Defaults, Credit Card Profits, and Bankruptcy, American Bankruptcy Law Journal, 99, 249
- 10.1111/0022-1082.00110 · DOI
- Fay S. Hurst E. White M. , 1998, “The Bankruptcy Decision: Does Stigma Matter?” working paper, University of Michigan. · DOI
- Gross D. Souleles N. , 2002, “Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence from Credit Card Data,” forthcoming in Quarterly Journal of Economics. · DOI · Paper page
- Hoynes H. , 1999, “Local Labor Markets and Welfare Spells: Do Demand Conditions Matter?” working paper, University of California, Berkeley. · DOI
- 10.1162/003465398557492 · DOI
- 1998, The Sky is Becoming the Only Limit for Credit Card Users, New York Times, August, 11
- Saunders A. , 1999, Credit Risk Management, Wiley, New York. · DOI
- Shumway T. , 1998, “Forecasting Bankruptcy More Accurately: A Simple Hazard Model,” working paper, University of Michigan. · DOI
- Weller, 1997, Time for the Great Train Wreck?, Business Credit, 99, 6
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Metadata
- Authors
- Gross, D. B., & Souleles, N. S.
- Affiliations
- University of Pennsylvania (US)
- Corresponding author
- Gross, David B.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2002-01
- Volume
- 15
- Issue
- 1
- Pages
- 319-347
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3125209152
- Cited by
- 552
- References
- 0
- Citations by year
- 2026: 4 · 2025: 14 · 2024: 36 · 2023: 14 · 2022: 21 · 2021: 17 · 2020: 18 · 2019: 20 · 2018: 22 · 2017: 27 · 2016: 30 · 2015: 37 · 2014: 27 · 2013: 19 · 2012: 35
- FWCI
- 64.40
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- Review of Financial Studies (publishedVersion)
- SSRN Electronic Journal (acceptedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- ScholarlyCommons (University of Pennsylvania) (submittedVersion)
- Topics
- Social Sciences › Business, Management and Accounting › Accounting › Financial Distress and Bankruptcy Prediction
- Social Sciences › Economics, Econometrics and Finance › Finance › Credit Risk and Financial Regulations
- Social Sciences › Law › Corporate Insolvency and Governance
- Keywords
- personal bankruptcy, credit card delinquency, credit card default, credit risk modeling, default costs, duration models, consumer credit
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- Gross, D. B., & Souleles, N. S. (2002). An Empirical Analysis of Personal Bankruptcy and Delinquency. Review of Financial Studies. https://doi.org/10.1093/rfs/15.1.319
