banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using …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 …

have higher mortgage delinquency and charge-off rates and significantly higher probabilities of failure during the last … stronger capital buffers. Our results suggest that there is scope for improved measures of mortgage loan risk that could be …