کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1000034 1481535 2015 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A model of mortgage losses and its applications for macroprudential instruments
ترجمه فارسی عنوان
یک مدل زیان وام مسکن و برنامه های کاربردی آن برای ابزارهای مباشرت
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی


• We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors.
• Following the model, loss rates are positively influenced by the house-price level, the loan-to-value of mortgages, interest rates, and the unemployment rate. They are negatively influenced by the growth of house prices and the income level.
• The calibration of the model for the US and Switzerland demonstrates that it is able to describe the overall development of actual mortgage loss rates. In-sample as well as out-of-sample.
• In addition, we show potential applications of the model for different macroprudential instruments: stress tests, countercyclical buffer, and setting risk weights for mortgages with different loan-to-value and loan-to-income ratios.
• The development of a foundation for these macroprudential instruments is the main contribution of this paper.

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the model, loss rates are positively influenced by the house price level, the loan-to-value of mortgages, interest rates, and the unemployment rate. They are negatively influenced by the growth of house prices and the income level. The calibration of the model for the US and Switzerland demonstrates that it is able to describe the overall development of actual mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress tests, countercyclical buffer, and setting risk weights for mortgages with different loan-to-value and loan-to-income ratios.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 16, February 2015, Pages 183–194
نویسندگان
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