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 … then use the model to run a top-down stress test and simulate losses on the individual bank level for the years from 2018 …

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the … mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress …

crisis affect their corporate lending in Germany. Using unique bank-level exposure data, we distinguish between three … different types of bank exposures, i.e. direct exposure to the US real estate sector, direct exposure to subprime lenders in the …–region combinations with lower insolvency ratios. Hence possible losses abroad shift bank lending at home, and the size of this effect …

This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress …

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly …

that supervision should include a comprehensive view of different bank risk dimensions. …