No. 531 - Modeling households' financial vulnerability with consumer credit and mortgage renegotiations

by Carmela Aurora Attinà, Francesco Franceschi and Valentina Michelangeli
November 2019
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The paper modifies the microsimulation model used by the Bank of Italy to assess the risks for financial stability associated with household debt (Michelangeli and Pietrunti, 2014), so as to account for the effects of consumer credit dynamics and mortgage renegotiations as well.

The new model provides a more accurate projection of the share of vulnerable households and of their share of total debt than was possible using the previous model. Under the new model, the growth in consumer credit forecast for 2019, would instead lead to an increase in the share of vulnerable households, whereas mortgage renegotiations would mitigate households' vulnerability by reducing the debt servicing burden.

Published in 2020 in: International Journal of Microsimulation, v. 13, 1, pp. 67-91

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  1. 13 November 2019
    No. 531 - Modeling households' financial vulnerability with consumer credit and mortgage renegotiations
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