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 … then use the model to run a top-down stress test and simulate losses on the individual bank level for the years from 2018 …

of macroprudential instruments addressing mortgage credit. The model compares the introduction of a loan-to-value ratio …

hypothetical activation shows that the introduction of a cap on the loan-to-value (LTV) ratio of new mortgage loans in Germany …

: First, the probability of default (PD) of those banks directly affected by some shock increases. This increases the expected … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the … model, loss rates are positively influenced by the house price level, the loan-to-value of mortgages, interest rates, and … mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress …

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 US real estate sector, direct exposure to subprime lenders in the …–region combinations with lower insolvency ratios. Hence possible losses abroad shift bank lending at home, and the size of this effect …

price changes on mortgage credit supply. Based on approximately 33 million real estate online listings, we construct a … isolate the effect on mortgage credit supply by all local German banks. First, a RETT hike by one percentage point reduces HPI … the RETT leads to a 1.4% decline in mortgage lending. This transmission of fiscal policy to mortgage credit supply is …