A1296
Title: Forecasting residential mortgage default: The role of energy efficiency
Authors: Michele Costola - Ca' Foscari University of Venice (Italy) [presenting]
Monica Billio - University of Venice (Italy)
Giorgio Bean - University of Venice (Italy)
Abstract: The role of building Energy efficiency in forecasting residential mortgage default is investigated using a large-scale dataset of 531,974 European mortgage loans sourced from the European DataWarehouse across nine countries over the period 2021--2025. Using Energy Performance Certificate (EPC) ratings as a proxy for Energy efficiency (EE), a negative and monotonic relationship between Energy Performance and default risk is documented through survival analysis and logistic regression. The predictive value of EPC information within a machine-learning benchmarking framework covering ten classification algorithms is then assessed, in which EE ranks among the top predictors across models, confirming its economic relevance beyond traditional credit risk variables.
