We investigate the socio-economic determinants of mortgage delinquency in 12 EU countries and observe that income … volatility significantly increases the mortgage delinquency risk. This pattern even holds for borrowers with higher …-income profiles if volatility in income is high enough. From this result we can draw the following conclusions: i) mortgage protection …

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other … assigns a critical role to unemployment status in the decision to stop payment on a mortgage. We help reconcile this … attenuation bias in loan-level estimations of default risk due to a borrower becoming unemployed. Attenuation bias results because …

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other … assigns a critical role to unemployment status in the decision to stop payment on a mortgage. We help reconcile this … attenuation bias in loan-level estimations of default risk due to a borrower becoming unemployed. Attenuation bias results because …

, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we …

the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … findings suggest the existence of a collateral-related channel through which the use of IRB ratings may influence the internal …