This paper analyses the impact of lending standards for residential real estate (RRE) loans on default rates, using a novel loan-level dataset from the European DataWarehouse (EDW) that covers eight euro area countries. To the best of the authors' knowledge, this paper is the first to use, for...

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

This article, which is primarily didactic in nature, provides basic intuition on asset pricing and risk-neutral valuation with a specific focus on residential real estate. I look into the pricing of physical real estate and two variations of derivative. I derive some specific valuation formulas...