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 …

product of exposure at default (EAD), probability of default (PD), and loss given default (LGD) of the loan. Simple weighted … (by EAD) means of PD and LGD are intuitive summaries however they do not satisfy a reconciliation property whereby their …, especially when trying to ascertain whether changes in EAD, PD, or LGD are responsible for a change in EL. We propose means for …