We study the aggregate exposure of mortgage borrowers in Switzerland to interest rate and house price risks and examine … variation. The analysis is based on a unique data set of household mortgage applications. Our results suggest that the aggregate …

Long-term fixed-rate mortgage contracts protect households against interest rate risk, yet most countries have … fixation length tracks the life-cycle decline of credit risk in the mortgage market: the loan-to-value (LTV) ratio decreases … using shorter-term contracts. To quantify demand for long-term contracts, I develop a life-cycle model of optimal mortgage …

based on a unique data set of household mortgage applications from September 2012 until January 2014. Our assessment of risk … exposure among mortgage borrowers in Switzerland is highly sensitive to the underlying assumptions on mortgage costs, household …We study the exposure of mortgage borrowers in Switzerland to interest rate and house price risks and examine how the …

risk in the mortgage market raises the default rate and spreads to the rest of the economy, creating a recession. In our … model two shocks are well suited to replicate the subprime crisis and the Great Recession: the mortgage risk shock and the …. This policy is successful in stabilizing the mortgage market and makes all agents better off. …

stronger capital buffers. Our results suggest that there is scope for improved measures of mortgage loan risk that could be … have higher mortgage delinquency and charge-off rates and significantly higher probabilities of failure during the last …-to-income ratios present a greater likelihood of house price correction, we find no evidence that banks managed this risk by building …

We construct a new measure of mortgage credit availability that describes the maximum amount obtainable by a borrower … of given characteristics. We estimate this "loan frontier" using mortgage originations data from 2001 to 2014 and show … that it reflects a binding borrowing constraint. Our estimates reveal that the expansion of mortgage credit during the …

current mortgage payments over the risk of possible hikes in future mortgage payments. We also provide evidence that banks do … influence the contracted mortgage rate fixation periods, trading off their own exposure to interest rate risk against the … borrowers' affordability and credit risk. Our results challenge the implicit assumption of the existing mortgage choice …

and those on tracker mortgage rate loans are most at risk following rate rises. This has important consequences for the …In this paper we examine the sensitivity of mortgage arrears for Irish households to changes in mortgage interest rates … information on current income and current mortgage repayments to link arrears to the level of, as well as shocks in, households …