The sharp fall of property prices after the Asian financial crisis has led many residential mortgage holders in Hong Kong to experience negative equity. Among other factors, this study looks at the impact of negative equity on the probability of default on mortgage loans, which is an important...

This study develops a framework for stress testing the credit exposures of Hong Kong's retail banks to macroeconomic shocks. Macro stress testing is performed with the framework to assess the vulnerability of banks' overall loan portfolios and mortgage exposures. A variety of shocks, similar to...

This paper estimates macroeconomic credit risk of banks' loan portfolio based on a class of mixture vector autoregressive models. Such class of models can differentiate distributions of default rates and macroeconomic conditions for different market situations and can capture their dynamics...