An Empirical Study on Credit Card Loan Delinquency in Korea

42 Pages Posted: 8 Jul 2015

See all articles by Hyeongjun Kim

Hyeongjun Kim

College of Business, Korea Advanced Institute of Science and Technology (KAIST)

Hoon Cho

Korea Advanced Institute of Science and Technology (KAIST)

Date Written: July 1, 2015

Abstract

This study investigates credit card loan delinquency in Korea. We define three states - no delinquency, delinquency, and serious delinquency - and test the transition probabilities between them using quarterly observed account-level data. Our findings have several economic implications. First, factors that affect delinquency risk can differ from those that affect the transition to serious delinquency. Second, the recent increase in the number of seriously delinquent accounts can be attributed to changes in the distribution of borrower ages. Third, macroeconomic conditions - especially differences in growth between the gross domestic product and consumption - have led to the recent increase in delinquent accounts.

Keywords: delinquency risk, credit card loan, multinomial logit

JEL Classification: D12, G21, G33

Suggested Citation

Kim, Hyeongjun and Cho, Hoon, An Empirical Study on Credit Card Loan Delinquency in Korea (July 1, 2015). KAIST College of Business Working Paper Series No. 2015-006, Available at SSRN: https://ssrn.com/abstract=2628501 or http://dx.doi.org/10.2139/ssrn.2628501

Hyeongjun Kim (Contact Author)

College of Business, Korea Advanced Institute of Science and Technology (KAIST) ( email )

85 Hoegiro, Dongdaemoon-gu
Seoul 02455
Korea, Republic of (South Korea)

Hoon Cho

Korea Advanced Institute of Science and Technology (KAIST) ( email )

373-1 Kusong-dong
Yuson-gu
Taejon 305-701, 130-722
Korea, Republic of (South Korea)

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