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The distribution of debt across euro area countries : the role of individual characteristics, institutions and credit conditions
Bover, Olympia; Casado, Jose Maria; Costa, Sónia; Du … - 2014
the main mortgage. Second, we examine the role of legal and economic institutions in accounting for these differences. We … youngest group of households borrow lower amounts (conditional on borrowing), and the mortgage interest rates paid by low …
Persistent link: https://www.econbiz.de/10010249770
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The impact of borrower-based instruments on household vulnerability in Germany
Barasinska, Nataliya; Ludwig, Johannes; Vogel, Edgar - 2021 - This version: June 22, 2021
hypothetical activation shows that the introduction of a cap on the loan-to-value (LTV) ratio of new mortgage loans in Germany …
Persistent link: https://www.econbiz.de/10012589225
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Stress testing the German mortgage market
Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019
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 … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …
Persistent link: https://www.econbiz.de/10012012997
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M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
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Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011981523
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Interbank risk assessment : a simulation approach
Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012201789
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …
Persistent link: https://www.econbiz.de/10011520642
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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10010471858
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Stressed banks? : evidence from the largest-ever supervisory review
Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2020
Regulation needs effective supervision; but regulated entities may deviate with unobserved actions. For identification, we analyze banks, exploiting ECB’s asset-quality-review (AQR) and supervisory security and credit registers. After AQR announcement, reviewed banks reduce riskier securities...
Persistent link: https://www.econbiz.de/10012214740
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A note of caution on quantifying banks' recapitalization effects
Schmidt, Kirsten; Noth, Felix; Tonzer, Lena - 2021
Unconventional monetary policy measures like asset purchase programs aim to reduce certain securities' yield and alter financial institutions' investment behavior. These measures increase the institutions' market value of securities and add to their equity positions. We show that the extent of...
Persistent link: https://www.econbiz.de/10012426421