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Modelling and Predicting of Australian Mortgage Delinquency Risk : A Preliminary Data Analysis

Roesch, Daniel - 2015

(LVR), loan documentation, loan type, loan purpose, and state. The data covers a cross-section of 25,537 mortgage loans … mortgage borrower. In this preliminary analysis, we find that the parametric model specification does not capture the … that the PD and the LVR, which is known to be a key determinant of mortgage default, have a nonlinear relationship that is …

Persistent link: https://www.econbiz.de/10013036035

Stress testing the German mortgage market

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

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 …

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

Do macroprudential policy instruments reduce the procyclical impact of capital ratio on bank lending? : cross-country evidence

Olszak, Małgorzata; Roszkowska, Sylwia; Kowalska, Iwona - In: Baltic journal of economics 19 (2019) 1, pp. 1-38

In this paper, we ask about the capacity of macroprudential policies to reduce the procyclical impact of capital ratio on bank lending. We focus on aggregated macroprudential policy measures and on individual instruments and test whether their effect on the association between lending and...

Persistent link: https://www.econbiz.de/10012010272

The impact of capital ratio on lending of EU banks - the role of bank specialization and capitalization

Olszak, Małgorzata; Pipień, Mateusz; Roszkowska, Sylwia - 2015

In this paper we aim to find out whether bank specialization and bank capitalization affect the relationship between bank loan growth and bank capital ratio, both in expansions and in contractions. We hypothesize that the impact of bank capital on lending is relatively strong in cooperative...

Persistent link: https://www.econbiz.de/10012030770

The prediction of corporate bankruptcy and Czech economy's financial stability through logit analysis

Jakubík, Petr (contributor); Teplý, Petr (contributor) - 2008

This article presents a financial scoring model estimated on Czech corporate accounting data. Seven financial indicators capable of explaining business failure at a 1-year prediction horizon are identified. Using the model estimated in this way, an aggregate indicator of the creditworthiness of...

Persistent link: https://www.econbiz.de/10003755238

Important facts on comparative backtesting of Value at Risk

Saissi Hassani, Samir - 2022

VaR remains important in market risk management as Basel keeps most of the backtesting based on 1% VaR. Comparative backtesting as practiced in the current literature suffers from a major double problem. On the one hand, the score functions, although strictly consistent, may assign very good or...

Persistent link: https://www.econbiz.de/10013294397

Stress Testing the German Mortgage Market

Barasinska, Nataliya - 2019

Persistent link: https://www.econbiz.de/10012866310

Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

Persistent link: https://www.econbiz.de/10012321142

Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises

Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021

Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those...

Persistent link: https://www.econbiz.de/10012617772

Estimating nonlinear heterogeneous agents models with neural networks

Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022

Persistent link: https://www.econbiz.de/10013263361