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 … banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using …-trigger hypothesis of mortgage defaults. In order to analyse the possible credit losses stemming from residential mortgage lending we …

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

firm level? We exploit that, in 2007, the European Central Bank replaced national collateral frameworks by a single list …. This collateral framework shock added loans to non-domestic euro area firms to the pool of eligible assets. Using loan … extended to (previously eligible) domestic borrowers, suggesting only a limited cross-border effect of the collateral framework …