means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than …

means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than … Risk ; Mortgage ; Delinquency Rate ; Generalized Hyperbolic Distribution ; Normal Distribution …

We examine mortgage pricing before and after Switzerland was the first country to activate the Counter-Cyclical Capital … Buffer of Basel III. Observing multiple mortgage offers per request, we obtain three core findings. First, capitalconstrained … and mortgage-specialized banks raise their rates relatively more. Second, risk-weighting schemes supposed to discriminate …

publication. We use unique data covering the population of all mortgage transactions in the UK complemented with regulatory risk …

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 …

, develops logit model to examine mortgage loan borrowers' characteristics that determine their default probability. Similar data …

The recent mortgage crisis has resulted in several bank failures as the number of mortgage defaults increased. The … current Basel I capital framework does not require banks to hold sufficient amounts of capital to support their mortgage …, the variation of the model, particularly how mortgage portfolios are segmented, could have a significant impact on the …