We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic … quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk …

between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of … key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of … systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding …

Monte Carlo simulations to quantify contagion-driven systemic risk and to evaluate the importance of the mechanisms in our …