We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default … counterfactual analysis of the responsiveness of mortgage PDs, LGDs, and bank capitalization conditional on adverse scenarios related …

a mortgage debt crisis, but in several cases, the legal response was based on the introduction of personal insolvency … understanding of the main considerations in resolving personal insolvency and distressed mortgage debt in the context of crises …

house price appreciation in mortgage markets. We find instruments targeting the cost of bank capital most effective in … slowing down mortgage credit growth, and that the impact is transmitted mainly through price margins, the same banking channel …

Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted … gives default probabilities that are low relative to those extracted from stochastic recovery value as proxied by the …

default risk not only in the financial, but also in non-financial sectors. Second, the paper analyzes the impact of two … but at the cost of raising long-term default risk in non-financial sectors. Strengthening the resolution framework for … failing banks has beneficial long-run effects on the default risks of the financial and non-financial sectors. Our results …

We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held … firms in real time. The model uses data from publicly-traded companies to construct a probability of default (PD) function …-held ones and performs well as an ordinal measure of privately-held firms' default risk …

This paper reviews the Mexican experience with the securitization of residential mortgages. It highlights the key … legislative and institutional reforms leading to the development of primary and secondary mortgage markets and reports the main … outlook for the Mexican RMBS market and draws some lessons from the recent U.S. subprime mortgage market problems. …

life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents …This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is …