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The blind spot in residential mortgages : increasing default option value in the face of declining house prices
Ozdemir, Bogie - In: Journal of risk management in financial institutions 17 (2024) 3, pp. 258-285
Persistent link: https://www.econbiz.de/10015108279
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Loss given default of residential mortgages in a low LTV regime : role of foreclosure auction process and housing market cycles
Park, Yun W.; Bang, Doo Won - In: Journal of banking & finance 39 (2014), pp. 192-210
Persistent link: https://www.econbiz.de/10010340742
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Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards
Lin, Che-chun; Prather, Larry J.; Chu, Ting-heng; Tsay, … - In: International review of financial analysis 27 (2013), pp. 115-122
Persistent link: https://www.econbiz.de/10009736923
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An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages
Cheng, Dan; Cirillo, Pasquale - In: Risks : open access journal 7 (2019) 3, pp. 76
We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...
Persistent link: https://www.econbiz.de/10012127587
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Liquidity constraints, home equity and residential mortgage losses
Do, Hung Xuan; Rösch, Daniel; Scheule, Harald - In: The journal of real estate finance and economics 61 (2020) 2, pp. 208-246
Persistent link: https://www.econbiz.de/10012293163
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Stress testing the German mortgage market
Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019
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 …
Persistent link: https://www.econbiz.de/10012012997
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Model house price volatilities : spatial and temporal structure
Zhang, Jiawei; Zhang, Lihua - In: The journal of structured finance 25 (2019) 2, pp. 64-74
Persistent link: https://www.econbiz.de/10012125667
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Adressing probationary period within a competing risks survival model for retail mortagage loss given default
Wood, Richard M.; Powell, David - In: The journal of credit risk : published quarterly by … 13 (2017) 3, pp. 47-66
Persistent link: https://www.econbiz.de/10011849972
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Benchmarking the loss given default parameter for mortgage loan portfolios under stress
Greve, Christian; Hahnenstein, Lutz - In: The journal of credit risk : published quarterly by … 12 (2016) 4, pp. 79-107
Persistent link: https://www.econbiz.de/10011645440
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Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default
Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738
Persistent link: https://www.econbiz.de/10012293945