This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using a structural PVAR approach. We confirm empirically that...

Commercial real estate loans, in particular construction and land loans, have become a simultaneously one of the most significant sources of risk for regional and small banks while remaining one of the least understood and studied types of debt. The lack of loan-level data on land, construction,...

In fall 2008, the Federal Housing Finance Agency (FHFA) placed mortgage giants Fannie Mae and Freddie Mac in conservatorship. As conservator, the FHFA has control over the operations of both companies, but it faces conflicting mandates. On the one hand, the FHFA is tasked with stabilizing the...

This paper examines loan originations by mortgage banking subsidiaries surrounding a recent period of regulatory arbitrage. Mortgage banking subsidiaries of Bank Holding Companies (BHCs) became increasingly active players in the mortgage origination market over the past decade. At the time, the...

The banking sector in the United Kingdom (UK) was deeply affected by the crisis. Bank credit has collapsed reflecting both weak demand and tighter supply. New prudential requirements have improved the resilience of the banking sector and a number of measures were taken to support credit supply....

We document that banks reduce supply of jumbo mortgage loans when policy uncertainty increases as measured by the timing of US gubernatorial elections in banks' headquarter states. The reduction is larger for more uncertain elections. We utilize high-frequency, geographically granular loan data...

Germany's bank-based financial system provides a high level of financial inclusion, measured by bank outreach and use of financial services. However, the most vulnerable individuals and small enterprises in Germany tend to be excluded or credit constrained. The quality of financial inclusion is...

This paper extends the literature on the capital crunch effect by examining the role of public policy for the link between lending and capital in a sample of large banks operating in the European Union. Applying Blundell and Bond (1998) two-step robust GMM estimator we show that restrictions on...

We analyze securities trading by banks and the associated spillovers to the supply of credit. Empirical analysis has been elusive due to the lack of securities register for banks. We use a unique, proprietary dataset that has the investments of banks at the security level for 2005-2012 in...

An increase in collateral availability can reduce the need for bank auditing. We test this hypothesis using reforms which expanded the set of pledgeable assets in secured lending, and find heterogeneous effects in the cross-section of banks. Smaller (relationship) banks are safer and earn a...