What Drives Mortgage Default Risk in Europe and the U.S.?
What Drives Mortgage Default Risk in Europe and the U.S.?
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St. Louis: Federal Reserve Bank of St. Louis
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English
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St. Louis: Federal Reserve Bank of St. Louis
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We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance sheets and income-expense flow data from about 95,000...
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What Drives Mortgage Default Risk in Europe and the U.S.?
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TN_cdi_proquest_journals_2648811058
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2648811058
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https://www.proquest.com/docview/2648811058?pq-origsite=primo&accountid=13902
