Data for: Measuring the Covariance Risk of Consumer Debt Portfolios

Published: 26-04-2021| Version 1 | DOI: 10.17632/j8sss7xtgf.1
Contributor:
Carlos Madeira

Description

his article provides data on the simulation results of consumer debt default for banks' consumer loans in Chile, using the model described in Madeira (2017). Furthermore, I provide a summary description of all the codes used for the simulation exercises and how to implement them from publicly available microdata sources. The data is of particular interest for those interested in analyzing the sensitivity of consumer loan default to heterogeneous labor market shocks and aggregate interest rates. All the codes and datasets are in Stata format.

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