An empirical characterization of mortgage default in Colombia between 1997 and 2004

This paper examines the relationship between mortgage default decisions andrelevant observable variables under the light of a random utility model. The focusof the study is the Colombian mortgage market between 1997 and 2004 using twoseparate data sets that are matched using simulation techniques. The estimationallows the computation of mortgage default probabilities that are directly relatedto an underlying model of optimal default. Results are sharp and indicate thatvariation in current income has little effect on mortgage default, compared tohousing prices and mortgage balances.