Local Housing Market Cycle and Loss Given Default: Evidence From Sub-Prime Residential Mortgages
Local Housing Market Cycle and Loss Given Default: Evidence From Sub-Prime Residential Mortgages
Local Housing Market Cycle and Loss Given Default: Evidence From Sub-Prime Residential Mortgages
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Publisher
Washington, D.C: International Monetary Fund
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Language
English
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Publisher
Washington, D.C: International Monetary Fund
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Scope and Contents
Contents
This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis i...
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Full title
Local Housing Market Cycle and Loss Given Default: Evidence From Sub-Prime Residential Mortgages
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TN_cdi_gale_infotraccpiq_236092113
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_gale_infotraccpiq_236092113
Other Identifiers
ISBN
1455201782,9781455201785
ISSN
1018-5941
DOI
10.5089/9781455201785.001
