Narrow search
Showing 1 - 10 of 395
Cover Image
Local Housing Market Cycle and Loss Given Default : Evidence From Sub-Prime Residential Mortgages
Zhang, Yanan - 2010
which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis is based on …This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that … the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage …
Persistent link: https://www.econbiz.de/10014402673
Cover Image
Mortgage Defaults
Martinez, Leonardo - 2012
life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents …
Persistent link: https://www.econbiz.de/10014396941
Cover Image
Stress testing and calibration of macroprudential policy tools
Górnicka, Lucyna; Valderrama, Laura - 2020
quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments …
Persistent link: https://www.econbiz.de/10012301885
Cover Image
Liquidity at risk : joint stress testing of solvency and liquidity
Cont, Rama; Kotlicki, Artur; Valderrama, Laura - 2020
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...
Persistent link: https://www.econbiz.de/10012251907
Cover Image
Real estate in the Netherlands : a taxonomy of risks and policy challenges
Geis, André; Luca, Oana - 2021
Soaring real estate prices and valuations despite the economic downturn brought by the pandemic have focussed the attention of Dutch policymakers on potential macro-financial and socio-economic implications. In this context, our paper reviews the salient features of Dutch commercial and...
Persistent link: https://www.econbiz.de/10012605499
Cover Image
Mortgage defaults
Hatchondo, Juan Carlos; Martinez, Leonardo; Sanchez, Juan M. - 2012
Persistent link: https://www.econbiz.de/10009423925
Cover Image
Expected credit loss modeling from a top-down stress testing perspective
Groß, Marco; Laliotis, Dimitrios; Leika, Mindaugas; … - 2020
The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress...
Persistent link: https://www.econbiz.de/10012302079
Cover Image
The COVID-19 impact on corporate leverage and financial fragility
Haque, Sharjil Muktafi; Varghese, Richard - 2021
We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...
Persistent link: https://www.econbiz.de/10012796218
Cover Image
Next generation balance sheet stress testing
Schmieder, Christian; Puhr, Claus; Hasan, Maher - 2011
Persistent link: https://www.econbiz.de/10009486265
Cover Image
Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping …, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the … additional bank capital needs could be large. The paper concludes discussing uses of the mapping beyond PD valuation suitable for …
Persistent link: https://www.econbiz.de/10012613371