This paper examines to what extent household leverage - as measured by the debt-to-income (DTI) ratio - predicts … is effective for predicting delinquency. This evidence supports its use in financial regulation to improve household … credit risk assessment and control. …

This paper investigates the main individual driving forces of Hungarian household credit risk and measures the … testing. Our results suggest that the main individual factors affecting household credit risk are disposable income, the … gathered by the Magyar Nemzeti Bank (MNB) in January 2007. Our study presents three alternative ways of modelling household …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

how the households' choice of risky mortgages is related to individual interest rate expectations and risk-aversion. Our … analysis is based on a unique data set of household mortgage applications from September 2012 until January 2014. Our … assessment of risk exposure among mortgage borrowers in Switzerland is highly sensitive to the underlying assumptions on mortgage …

Superintendent of Financial Institutions (OSFI) has issued an initial draft guideline on climate-risk management for federally …

in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach … requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery … appropriate choice of a discount factor by introducing risk premium based on a risk level of collaterals. We apply statistical …

securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS …

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of …

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and … of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed … testing ; financial stability ; credit risk ; credit growth …