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When banks venture beyond home turf : consequences for loan performance
Tanoue, Yuta; Yamashita, Satoshi - In: The journal of credit risk : published quarterly by … 13 (2017) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011849964
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Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards
Lin, Che-chun; Prather, Larry J.; Chu, Ting-heng; Tsay, … - In: International review of financial analysis 27 (2013), pp. 115-122
Persistent link: https://www.econbiz.de/10009736923
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Ratings based capital adequacy for securitizations
Lützenkirchen, Kristina; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 37 (2013) 12, pp. 5236-5247
Persistent link: https://www.econbiz.de/10010343743
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A zero-adjusted gamma model for mortgage loan loss given default
Tong, Edward N. C.; Mues, Christophe; Thomas, Lyn C. - In: International journal of forecasting 29 (2013) 4, pp. 548-562
Persistent link: https://www.econbiz.de/10010212473
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Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
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Credit Risk Model : Assessing Default Probability of Mortgage Loan Borrower
Ergeshidze, Aleksandre - 2017
, develops logit model to examine mortgage loan borrowers' characteristics that determine their default probability. Similar data …
Persistent link: https://www.econbiz.de/10012947708
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Basel and procyclicality : a comparison of the standardised and IRB approaches to an improved credit risk method
Goodhart, Charles A. E.; Segoviano, Miguel - 2004
Persistent link: https://www.econbiz.de/10002462024
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(When) do banks react to anticipated capital reliefs?
Arnould, Guillaume; Guin, Benjamin; Ongena, Steven; … - 2020
publication. We use unique data covering the population of all mortgage transactions in the UK complemented with regulatory risk …
Persistent link: https://www.econbiz.de/10012421476
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An alternative to the standardized approach for assessing credit risk under the Basel accords
Konno, Yukiko; Itoh, Yuki - In: Cogent economics & finance 4 (2016) 1, pp. 1-13
The current standardized approach for assessing credit risk under Basel III depends on ratings assigned by credit rating agencies (CRAs). However, this approach presents three problems. First, the definitions of ratings used by CRAs to assess the likelihood of default and recovery rates are not...
Persistent link: https://www.econbiz.de/10011531140
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Modeling a distribution of mortgage credit losses
Gapko, Petr; Šmíd, Martin - In: Ekonomický časopis : časopis pre ekonomickú … 60 (2012) 10, pp. 1005-1023
Persistent link: https://www.econbiz.de/10010372802