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then use the model to run a top-down stress test and simulate losses on the individual bank level for the years from 2018 …
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We investigate the relationship between real estate markets and bank distress among German universal and specialized … bank distress (PDs). But higher prices at given rents may also indicate excessive expectations regarding the present value … real estate exposures amplify this effect. Rising real estate price levels alone reduce bank PDs, but only for banks with …
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This paper studies the macroeconomic effects of implicit government guarantees of the obligations of government-sponsored enterprises. We construct a model with competitive housing and mortgage markets in which the government provides banks with insurance against aggregate shocks to mortgage...
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