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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

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

Siemsen, Thomas - 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

A comprehensive view on risk reporting : evidence from supervisory data

Abbassi, Puriya; Schmidt, Michael - 2018

We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk exposure in their trading book. This relationship is...

Persistent link: https://www.econbiz.de/10011826077

Quantifying the components of the banks’ net interest margin

Busch, Ramona; Memmel, Christoph - 2014

Using unique data sets on German banks, we decompose their net interest margin and quantify the different components by estimating the costs of the various functions they perform. We investigate three major functions: namely, liquidity and payment management for the customers, the bearing of...

Persistent link: https://www.econbiz.de/10010384147

Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...

Persistent link: https://www.econbiz.de/10012160610

Monetary policy, housing, and collateral constraints

Franz, Thorsten - 2019

decisively on prevailing loan-to-value (LTV) ratios in mortgage markets with borrowing constrained households. Utilizing a smooth … housing sector in times of high LTV ratios, which, through changes in mortgage lending and mortgage equity withdrawals (MEWs …

Persistent link: https://www.econbiz.de/10011963152

International banking and cross-border effects of regulation : lessons from Germany

Ohls, Jana; Pramor, Marcus; Tonzer, Lena - 2016

We analyze the inward and outward transmission of regulatory changes through German banks' (international) loan portfolio. Overall, our results provide evidence for international spillovers of prudential instruments, these spillovers are however quite heterogeneous between types of banks and can...

Persistent link: https://www.econbiz.de/10011518213

Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Persistent link: https://www.econbiz.de/10010493885

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