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This paper presents a comprehensive analysis of Irish mortgage arrears using a new loan-level dataset which incorporates data from four Irish banks. We identify the main characteristics of accounts in arrears and examine the role of ability-to-pay and equity factors in the recent hike in...
Persistent link: https://www.econbiz.de/10009368975
Despite various efforts to address the mortgage arrears crisis, arrears remain at an elevated level. Designing policies to deal with such high levels of distress requires a deep understanding of the precise sources of the problem. Efforts to date, however, have been hampered by a lack of...
Persistent link: https://www.econbiz.de/10010782114
-based probability of default model which yields directly observ- able cash-fl ows at the loan level. The estimated model includes … the model and impact loans' probability of default and cure. Other loan-level covariates such as bank, Buy-to-Let status …, and vintage also impact loans' transition probabilities. Loss Given Default is also modelled over a three-year horizon …
Persistent link: https://www.econbiz.de/10011148704
transitions-based model of mortgage default. The estimation departs from cross-sectional methods typically used in mortgage … default models, in that the transition both into and out of mortgage default is predicted. Housing equity, regional … unemployment and loan interest rates are found to impact the probability of transition into default, while housing equity, interest …
Persistent link: https://www.econbiz.de/10011082811