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Mortgages : Estimating Default Correlation and Forecasting Default Risk
Neumann, Tobias - 2018
appropriate for UK and US mortgages. This model also forecasts mortgage default rates accurately and parsimoniously. The model … generates value-at-risk estimates for future mortgage default rates, which can be used to inform stress-testing and …
Persistent link: https://www.econbiz.de/10012925775
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Specialisation in Mortgage Risk Under Basel II
Benetton, Matteo - 2017
Since Basel II was introduced in 2008, two approaches to calculating bank capital requirements have co-existed: lenders' internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for 2005–15, and novel identification, we provide...
Persistent link: https://www.econbiz.de/10012965404
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Determinants of Distress in the UK Owner-Occupier and Buy-to-Let Mortgage Markets
Lazarov, Vladimir S - 2019
The mortgage market has played a central role in the global financial crisis. One particularly pressing question … surrounds the conditions under which mortgage borrowers enter distress, ie get into arrears or default. This paper develops a … novel micro dataset from residential mortgage loans which UK banks and building societies have pre-positioned with the Bank …
Persistent link: https://www.econbiz.de/10012897696
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Three Triggers? Negative Equity, Income Shocks and Institutions As Determinants of Mortgage Default
Linn, Andrew - 2019
In understanding the determinants of mortgage default, the consensus has moved from an ‘option theory' model to the … the determinants of mortgage default across five European countries, using a large dataset of over 2.3 million active … mortgage loans originated between 1991 and 2013 across over 150 banks. The analysis finds support for both elements of the …
Persistent link: https://www.econbiz.de/10012865249
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Macroprudential Policy, Mortgage Cycles and Distributional Effects : Evidence from the UK
Peydró, José-Luis - 2020
effects of such a macroprudential policy on mortgage and house price cycles. For identification, we exploit the universe of UK …-price correction), the 2014-policy strongly implies — via lower pre-correction debt — better house prices and mortgage defaults during …
Persistent link: https://www.econbiz.de/10012832639
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Capital Requirements, Risk Shifting and the Mortgage Market
Uluc, Arzu; Wieladek, Tomasz - 2015
We study the effect of changes to bank-specific capital requirements on mortgage loan supply with a new loan-level data …
Persistent link: https://www.econbiz.de/10014130887
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To Ask or Not To Ask? Bank Capital Requirements and Loan Collateralization
Degryse, Hans - 2019
We study the impact of higher capital requirements on banks' decisions to grant collateralized rather than uncollateralized loans. We exploit the 2011 EBA capital exercise, a quasi-natural experiment that required a number of banks to increase their regulatory capital but not others. This...
Persistent link: https://www.econbiz.de/10012897240
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The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2019
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III leverage ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a...
Persistent link: https://www.econbiz.de/10012897424
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Liquidity Transformation, Collateral Assets and Counterparties
de Roure, Calebe - 2019
We investigate how counterparties' characteristics, and the collateral they use, interact with their demand for liquidity in the Bank of England's (BoE) operations. Between 2010 and 2016 there was regular usage of two BoE facilities: Indexed Long-Term Repos (ILTR) and the Funding for Lending...
Persistent link: https://www.econbiz.de/10012862159
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Banks' Internal Capital Allocation, the Leverage Ratio Requirement and Risk-Taking
Neamțu, Ioana; Vo, Quynh-Anh - 2022
This paper examines how banks' asset risk is affected by the level (i.e. group or business unit) at which regulatory requirements are applied. We develop a theoretical model and calibrate it to UK banks. Our main finding is that the impact differs depending on which regulatory constraint is...
Persistent link: https://www.econbiz.de/10013297343