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Home, safe home : cross-country monitoring framework for vulnerabilities in the residential real estate sector
Bengtsson, Elias; Grothe, Magdalena; Lepers, Etienne - 2017
This paper proposes a framework for monitoring vulnerabilities related to the residential real estate sector in a cross-country context. The framework might be useful for complementing or cross-checking signals available from existing approaches. It takes into account three dimensions of real...
Persistent link: https://www.econbiz.de/10011710115
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The time dimension of the links between loss given default and the macroeconomy
Koneèný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017
Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of … the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that … between LGD and the aggregate economy in the Czech Republic. The model that allows exclusively for contemporaneous effects …
Persistent link: https://www.econbiz.de/10011636239
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House prices, home equity and entrepreneurships
Corradin, Stefano; Popov, Alexander - 2013
Persistent link: https://www.econbiz.de/10009766423
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Twin default crises
Mendicino, Caterina; Nikolov, Kalin; Rubio-Ramírez, … - 2020
We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank lending generates bank asset returns with limited...
Persistent link: https://www.econbiz.de/10012224086
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Limited liability, strategic default and bargaining power
Mozzanica, Mirco Balatti; López-Quiles, Carolina - 2021
In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on …
Persistent link: https://www.econbiz.de/10012422423
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Stress tests and capital requirement disclosures : do they impact banks' lending and risk-taking decisions?
Konietschke, Paul; Ongena, Steven; Marques, Aurea Ponte - 2022
How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their corresponding risk-taking, the ensuing effect on their...
Persistent link: https://www.econbiz.de/10013277156
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The risk management approach to macro-prudential policy
Chavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; … - 2021
Macro-prudential authorities need to assess medium-term downside risks to the real economy, caused by severe financial shocks. Before activating policy measures, they also need to consider their short-term negative impact. This gives rise to a risk management problem, an inter-temporal trade-off...
Persistent link: https://www.econbiz.de/10012547546
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Capital requirements, risk shifting and the mortgage market
Uluc, Arzu; Wieladek, Tomasz - 2017
We study the effect of changes to bank-specific capital requirements on mortgage loan supply with a new loan …
Persistent link: https://www.econbiz.de/10011647900
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Same same but different : credit risk provisioning under IFRS 9
Behn, Markus; Couaillier, Cyril - 2023
We analyse the impact of the adoption of expected credit loss accounting (IFRS 9) on the timeliness and potential procyclicality of banks' loan loss provisioning. We use granular loan-level data from the euro area's credit register and investigate both firm-level credit events and macroeconomic...
Persistent link: https://www.econbiz.de/10014362650
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An agent-based model for the assessment of LTV caps
Laliotis, Dimitrios; Buesa, Alejandro; Leber, Miha; … - 2019
We assess the effects of regulatory caps in the loan-to-value (LTV) ratio using agent-based models (ABMs). Our approach builds upon a straightforward ABM where we model the interactions of sellers, buyers and banks within a computational framework that enables the application of LTV caps. The...
Persistent link: https://www.econbiz.de/10012030228