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 …

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 …

–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 …