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Credit when you need it
Collier, Benjamin L.; Hartley, Daniel A.; Keys, Benjamin J. - 2024
We estimate the causal effect of emergency credit on households' finances after a negative shock. To do so, we link application data from the U.S. Federal Disaster Loan program, which provides loans to households that have uninsured damages from a federally-declared natural disaster, to a panel...
Persistent link: https://www.econbiz.de/10015053784
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ECB economy-wide climate stress test : methodology and results
Alogoskoufis, Spyros; Dunz, Nepomuk; Emambakhsh, Tina; … - 2021
; (iii) a novel set of climate-specific models to capture the direct and indirect transmission channels of climate risk …
Persistent link: https://www.econbiz.de/10012627188
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Collateral-Enhanced Default Risk
Kenyon, Chris - 2013
, whilst removing credit risk transmission, systematically increase default risk …
Persistent link: https://www.econbiz.de/10013087656
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The impact of transitory climate risk on firm valuation and financial institutions : a stress test approach
Schult, Alexander; Müller, Sebastian; Friedl, Gunther; … - In: Schmalenbach journal of business research : SBUR 76 (2024) 1, pp. 63-111
Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …
Persistent link: https://www.econbiz.de/10014551027
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Climate Risk Contagion of U.S. Banks
Altieri, Michela; Radev, Deyan - 2023
We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and … systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk … directly, consistent with domestic investors expecting climate risk deregulation. However, climate risk still indirectly …
Persistent link: https://www.econbiz.de/10014354192
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Bank Stress Testing of Physical Risks Under Climate Change Macro Scenarios : Typhoon Risks to the Philippines
Hallegatte, S.; Lipinsky, Fabian; Morales, Paola; Oura, … - 2022
building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …
Persistent link: https://www.econbiz.de/10013492150
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Housing, housing finance and credit risk
Canepa, Alessandra; Khaled, Fawaz - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-23
This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the … role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations … is also closely examined. Using a large panel of countries it is found that housing affordability and household fragility …
Persistent link: https://www.econbiz.de/10011883262
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The Effects of Non-Recourse Mortgages on Default Risks and Households’ Surplus
Rhee, Keeyoung - 2018
We study whether a default option attached to non-recourse mortgages improves borrowers' surplus from mortgage financing. By defaulting on mortgage debt, borrowers can save their non-collateralized income from being foreclosed. In exchange, borrowers must forgo nonmonetary surplus from retaining...
Persistent link: https://www.econbiz.de/10012908936
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Determinants of Default Ratios in the Segment of Loans to Households in Spain
Blanco, Roberto - 2012
default ratios in Spain for loans extended to the household sector. We estimate the models for two alternative definitions of …
Persistent link: https://www.econbiz.de/10013110529
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Assessing Macro-Financial Risks of Household Debt in China
Han, Fei - 2020
strengthening of systemic risk assessment and macroprudential policies of the household sector. Other policies include improving the …High household indebtedness could constrain future consumption growth and increase financial stability risks. This … paper uses household survey data to analyze both macroeconomic and finanical stability risks from the rapidly rising …
Persistent link: https://www.econbiz.de/10012843517