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Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German …-trigger hypothesis of mortgage defaults. In order to analyse the possible credit losses stemming from residential mortgage lending we … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …

Persistent link: https://www.econbiz.de/10012012997

A stress test framework for the German residential mortgage market : methodology and application

Siemsen, Thomas - 2017

This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress …

Persistent link: https://www.econbiz.de/10011764865

Stress Testing the German Mortgage Market

Barasinska, Nataliya - 2019

Persistent link: https://www.econbiz.de/10012866310

Performance and Regulatory Effects of Non-Compliant Loans in German Synthetic Mortgage-Backed Securities Transactions

Trinkaus, Gaby - 2016

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a securitized loan as materially non-compliant with certain transaction requirements. Such a loan becomes unqualified for loss allocation. Therefore, non-compliant loans can...

Persistent link: https://www.econbiz.de/10012989245

Valuation at origination of legal prepayment options embedded in 15-year German mortgage loans

Wosnitza, Jan Henrik - In: Credit and capital markets : Kredit und Kapital 51 (2018) 3, pp. 465-489

Persistent link: https://www.econbiz.de/10011948474

Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany

Roesch, Daniel - 2013

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks' capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to...

Persistent link: https://www.econbiz.de/10013073402

Multiple lenders and corporate distress : evidence on debt restructuring

Brunner, Antje; Krahnen, Jan Pieter - 2006 - This version: June 2006

In the recent theoretical literature on lending risk, the coordination problem in multi-creditor relationships have been analyzed extensively. We address this topic empirically, relying on a unique panel data set that includes detailed credit-file information on distressed lending relationships...

Persistent link: https://www.econbiz.de/10009767665

Banking Fragility and Distress : An Econometric Study of Macroeconomic Determinants

Pesola, Jarmo - 2018

The macroeconomic determinants of banking sector distresses in the Nordic countries, Belgium, Germany, Greece, Spain and the UK are analysed using an econometric model estimated on panel data from partly the early 1980s to 2002.The dependent variable is the ratio of banks' loan losses to...

Persistent link: https://www.econbiz.de/10012933190

The real effects of bank distress : evidence from bank bailouts in Germany

Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019

How does bank distress impact their customers' probability of default and trade credit availability? We address this question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times of distress and crisis, featuring the different...

Persistent link: https://www.econbiz.de/10012108717

The Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2003 - Analysis and Models for Risk Aggregation

Memmel, Christoph - 2016

to determine which aggregation model leads to the best out-of-sample estimates for the portfolio's economic risk figure …

Persistent link: https://www.econbiz.de/10012989328

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