-income households are higher. Regulatory loan-to-value ratios, the taxation of mortgages and the prevalence of interest-only or fixed …-rate mortgages deliver less robust results …

default ratios in Spain for loans extended to the household sector. We estimate the models for two alternative definitions of … default and for two different loan categories. The dataset consists of a panel of 50 provinces and covers the period 1984 …-2009. The results of the models show that the dynamic behaviour of the default ratios of loans extended to Spanish households …

In this paper we develop a probability of default (PD) model for mortgage loans, taking advantage of the Spanish Credit …

effect of GDP growth and interbank rates on loan default rates. The estimated default correlation is low across … specifications. The model is also used to calculate the impact on the probabilities of default of stressed economic scenarios. …

This paper analyses the determinants of the probability of default (PD) of bank loans. We focus the discussion on the …

loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are … effects between sectors. In addition, we also model the distributions of the Exposure at Default and the Loss Given Default …. We apply our model to the Spanish credit market, where we find that sectorial default frequencies are affected by a …