We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the … mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress …

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the … mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress …

current, delinquency, default, prepayment, repurchase, short sale and foreclosure on mortgage loans. The approach allows for … decision-making on granting loans and the design of debt relief and mortgage modification policies. …

mortgage panel data to assign performing loans into the appropriate stage. Using this technique, we characterise approximately … 30 per cent of the performing Irish mortgage portfolio at end-2015 as Stage 2.We then calculate backward-looking, static …

In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default …. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional … extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. The …

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 … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …