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Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

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 …

Persistent link: https://www.econbiz.de/10012012997

Model house price volatilities : spatial and temporal structure

Zhang, Jiawei; Zhang, Lihua - In: The journal of structured finance 25 (2019) 2, pp. 64-74

Persistent link: https://www.econbiz.de/10012125667

A zero-adjusted gamma model for mortgage loan loss given default

Tong, Edward N. C.; Mues, Christophe; Thomas, Lyn C. - In: International journal of forecasting 29 (2013) 4, pp. 548-562

Persistent link: https://www.econbiz.de/10010212473

Borrower risk and housing price appreciation

Hayunga, Darren K.; Pace, R. Kelley; Zhu, Shuang - In: The journal of real estate finance and economics 58 (2019) 4, pp. 544-566

Persistent link: https://www.econbiz.de/10012152235

Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards

Lin, Che-chun; Prather, Larry J.; Chu, Ting-heng; Tsay, … - In: International review of financial analysis 27 (2013), pp. 115-122

Persistent link: https://www.econbiz.de/10009736923

Loss given default, loan seasoning and financial fragility : evidence from commercial real estate loans at failed banks

Ross, Emily Johnston; Shibut, Lynn - In: The journal of real estate finance and economics 63 (2021) 4, pp. 630-661

Persistent link: https://www.econbiz.de/10012653299

Adressing probationary period within a competing risks survival model for retail mortagage loss given default

Wood, Richard M.; Powell, David - In: The journal of credit risk : published quarterly by … 13 (2017) 3, pp. 47-66

Persistent link: https://www.econbiz.de/10011849972

Benchmarking the loss given default parameter for mortgage loan portfolios under stress

Greve, Christian; Hahnenstein, Lutz - In: The journal of credit risk : published quarterly by … 12 (2016) 4, pp. 79-107

Persistent link: https://www.econbiz.de/10011645440

Mortgages : estimating default correlation and forecasting default risk

Neumann, Tobias - 2018

Persistent link: https://www.econbiz.de/10011914364

Mortgage losses under alternative property disposition approaches : deed-in-lieu, short sales, and foreclosure sales

Biswas, Arnab; Fout, Hamilton; Pennington-Cross, Anthony - In: The journal of real estate finance and economics 66 (2023) 3, pp. 603-635

Persistent link: https://www.econbiz.de/10014258865