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An econometric model to quantify benchmark downturn LGD on residential mortgages
Morone, Marco; Cornaglia, Anna - Volkswirtschaftliche Fakultät, … - 2010
The paper describes a theoretical approach to determine the downturn LGD for residential mortgages, which is compliant with the regulatory requirement and thus suited to be used for validation, at least as it can give benchmark results. The link between default rates and recovery rates is in...
Persistent link: https://www.econbiz.de/10008674261
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Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005789941
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Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005622096
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Form Follows Function: On the Interaction between Real Estate Finance and Urban Spatial Structure
Bieri, David - Volkswirtschaftliche Fakultät, … - 2012
The fundamental connection between the spatial development of cities and financial markets is a topic that has received little attention from either urbanists or economists. In this short piece, I argue that part of the post-crisis recovery is predicated on a multi-faceted understanding of the...
Persistent link: https://www.econbiz.de/10011112558
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A dynamic model of house price
Wang, Zigan; Zhu, Youwei - Volkswirtschaftliche Fakultät, … - 2011
In this paper, we build the rationale of the financial intermediate's decision of making loans to potential home buyers over an infinite time horizon. In the first period "good" borrowers with stable future income flows receive loans and buy homes. In later periods, the intermediate securitizes...
Persistent link: https://www.econbiz.de/10009353531
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Real estate market and the relevance of local features in a hedonic prices quantil-spatial analysis – the case of Belo Horizonte – Brazil
Furtado, BERNARDO - Volkswirtschaftliche Fakultät, … - 2007
The main motivation of this paper is to identify how relevant the localization of a specific estate is in its market value. Furthermore, it aims to understand better how economic aspects influence and are influenced by urban space. In order to do so, a myriad of concepts is drawn from a variety...
Persistent link: https://www.econbiz.de/10005790279
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The mortgage and financial crisis of 2008: Causes, measures taken, impacts
Grancay, Martin - Volkswirtschaftliche Fakultät, … - 2008
The 2008 financial crisis has its origins in the US real estate market. By means of purchases of US mortgage …
Persistent link: https://www.econbiz.de/10005037723
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Essays on consumer portfolio choice and credit risk
Ji, Tingting - Volkswirtschaftliche Fakultät, … - 2004
Three essays comprise this dissertation. The first essay uses panel data to show that labor income risk alone cannot explain limited stock market participation. However, transaction costs and household demographics, considered jointly, can determine both the discrete choice of whether to hold...
Persistent link: https://www.econbiz.de/10005835481
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Разработка и исследование ссудо-сберегательных программ ипотечного кредитования: динамическая модель....
Polterovich, Victor; Starkov, Oleg; Ilinskiy, Dmitry - Volkswirtschaftliche Fakultät, … - 2013
We develop a dynamic model for analyzing the programs of contractual savings for housing (CSH). We introduce concepts of stability as well as strong and weak stability of trajectories generated by CSH programs, and obtain the necessary and sufficient conditions that guarantee fulfillment of...
Persistent link: https://www.econbiz.de/10011258200
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Explaining the Housing Bubble
Levitin, Adam; Wachter, Susan - Volkswirtschaftliche Fakultät, … - 2012
. First, it demonstrates that the bubble was a supply-side phenomenon attributable to an excess of mispriced mortgage finance …: mortgage-finance spreads declined and volume increased, even as risk increased—a confluence attributable only to an oversupply … of mortgage finance. Second, it explains the mortgage-finance supply glut as resulting from the failure of markets to …
Persistent link: https://www.econbiz.de/10011261024