banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using …This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German …-trigger hypothesis of mortgage defaults. In order to analyse the possible credit losses stemming from residential mortgage lending we …

product of exposure at default (EAD), probability of default (PD), and loss given default (LGD) of the loan. Simple weighted … (by EAD) means of PD and LGD are intuitive summaries however they do not satisfy a reconciliation property whereby their …, especially when trying to ascertain whether changes in EAD, PD, or LGD are responsible for a change in EL. We propose means for …

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting … uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be … emphasized in each case. We build PD models using a long history of large corporate firms sourced from Moody's, with a large …

The current study investigates the recent mortgage crisis to determine whether deteriorating aggregate loan …

The sharp fall of property prices after the Asian financial crisis has led many residential mortgage holders in Hong … probability of default on mortgage loans, which is an important issue in view of the fact that residential mortgage lending …) as a major determinant for mortgage default decisions. It also finds that the default probability is positively …

We investigate the spatial dependence between commercial and residential mortgage defaults. A new class of observation … large panels of mortgage loan records. The score dynamics in the models is driven by so-called generalized residuals, and …