This survey discusses recent contributions to the quantitative literature on unsecured
consumer debt and default, and some ongoing challenges for the literature. Key topics …

Previous studies of consumer debt risk estimate low sensitivities to negative shocks,
contradicting the historical data. This work proposes a heterogeneous agents model of …

We document the cyclical properties of unsecured consumer credit (procyclical and volatile)
and of consumer bankruptcies (countercyclical and very volatile). Using a growth model with …

The covariance risk of consumer loans is difficult to measure due to high heterogeneity.
Using the Chilean Household Finance Survey I simulate the default conditions of …

Abstract During the Great Moderation, the consumer unsecured debt-to-income ratio nearly
doubled and the personal bankruptcy filing rate more than quadrupled. This historically …

Purpose-This paper investigates how business cycle impacts on corporate credit spreads
since global financial crisis. Furthermore, it tests how the impact changes by the phase of the …

Previous studies of consumer debt risk estimate low sensitivities to negative economic
shocks, contradicting the historical data. This work proposes a heterogeneous agents' model …

Abstract During the Great Moderation, the consumer unsecured debt-to-income ratio nearly
doubled and the personal bankruptcy filing rate more than quadrupled. This historically …

Since the global financial crisis, the interaction between credit and business cycle has
garnered increased attention. In this study, we explore how the business cycle affects …

We specify and estimate a system of macro-nancial linkages that incorporate transmission
channels for both borrower-and lender-based macroprudential instruments. We then embed …