Exposure to Real Estate Losses

We implement a three-step procedure to assess the extent of exposure to real estate in commercial banks. First, we demonstrate interest rates and income to be the major determinants of delinquency. Then, we adopt a stress testing approach to calculate the impact of any adverse changes in these determinants. This suggests that a 1.3 percentage point increase in mortgage interest rate leads to a 20 percent decrease in a typical bank's distance to default. Finally, we look at the cross-sectional differences and indentify the banks with rapid loan growth along with high cost-income ratio as the mo

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Year of publication:	2009
Authors:	Pinheiro, Marcelo
Other Persons:	Igan, Deniz (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Immobilienmarkt \| Real estate market \| Hypothek \| Mortgage \| Subprime-Krise \| Subprime financial crisis \| Kreditgeschäft \| Bank lending

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Extent:	Online-Ressource (35 p)
Series:	IMF Working Papers IMF working paper ; WP/09/79
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Contents; I. Introduction; II. Related Literature; III. Empirical Approach; A. Modeling the Determinants of Delinquencies; B. Stress Testing; C. Determinants of Vulnerability; IV. Data; V. Results; A. What Leads to Delinquencies?; B. Can the Banking Sector Survive an Economic Downturn?; C. Who are the Vulnerable Banks?; D. What is the Likely Impact of Recent Regulations?; VI. Conclusion; References; Figures; 1. Business, Credit, and Real Estate Cycles, 1976-2006; 2. Share of All Real Estate-Related Loans in Banks' Portfolio, 1960-2006 3. Share of Real Estate Loans in Banks' Portfolio, 1996-20064. Real Estate Price Indices, 1984-2006; 5. Real Estate Exposure: Median Bank, 2000-2006; 6. Delinquency Rate, 1991-2006; 7. Response of Delinquency Rate on Real Estate Loans to Major Determinants; 8. Response of Delinquency Rate on Residential Real Estate Loans to Major Determinants; 9. Response of Delinquency Rate on Commercial Real Estate Loans to Major Determinants; 10. Bank Vulnerability and House Price Appreciation between 2000 and 2006; Tables; 1. Definition and Source of Variables; 2. Summary Statistics 3. VEC Estimation Results: Delinquency rate on real estate loans4. VEC Estimation Results: Delinquency rate on residential real estate loans; 5. VEC Estimation Results: Delinquency rate on commercial real estate loans; 6. Summary Statistics by Vulnerability; 7. Characteristics of Vulnerable Banks: Cross-Section Analysis; 8. Characteristics of Vulnerable Banks: Panel Data Analysis; 9. Most Vulnerable Banks: Distribution by State
ISBN:	978-1-4518-7226-2 ; 978-1-4519-8727-0 ; 978-1-4518-7226-2
Source:	ECONIS - Online Catalogue of the ZBW

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