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Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2015

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...

Persistent link: https://www.econbiz.de/10011391709

The role of non-performing loans for bank lending rates

Bredl, Sebastian - 2019

Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...

Persistent link: https://www.econbiz.de/10011955694

A model of mortgage losses and its applications for macroprudential instruments

Hott, Christian - 2013

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 …

Persistent link: https://www.econbiz.de/10010192836

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

Do exposures to sagging real estate, subprime or conduits abroad lead to contraction and flight to quality in bank lending at home?

Ongena, Steven; Tümer-Alkan, Günseli; Westernhagen, … - 2015

We investigate how differential exposures by German banks to the US real estate market during the recent financial 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...

Persistent link: https://www.econbiz.de/10011280084

Affordability, financial innovation and the start of the housing boom

Dokko, Jane K.; Keys, Benjamin J.; Relihan, Lindsay E. - 2019

Persistent link: https://www.econbiz.de/10011986443

Judge Dread: court severity, repossession risk and demand in mortgage and housing markets

Montebruno, Piero; Silva, Olmo; Szumilo, Nikodem - 2021

Persistent link: https://www.econbiz.de/10012542170

A stress test framework for the German residential mortgage market : methodology and application

Siemsen, Thomas; Vilsmeier, Johannes - 2017

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

Persistent link: https://www.econbiz.de/10011764865

Better be careful : the replenishment of ABS backed by SME loans

Fenner, Arved; Klein, Philipp; Mössinger, Carina - 2021

We investigate the replenishment of 102 asset-backed securities (ABS) backed by more than 1.7 million small- and medium-sized enterprise loans. Based on our extensive data set from 2012 to 2017 obtained from the first and only central loan-level repository for ABS in Europe, we reveal that loans...

Persistent link: https://www.econbiz.de/10012617561

Household external finance and consumption

Besley, Timothy (contributor); Meads, Neil (contributor); … - 2008

This paper uses mortgage data to construct a measure of terms on which households access to external finance, and … spread paid by risky borrowers in the mortgage market. There is evidence that the terms of access to external finance matter …

Persistent link: https://www.econbiz.de/10003770102

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