What Drives Mortgage Default Risk in Europe and the U.S.? /
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 shee...
| Autor principal: | |
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| Outros Autores: | , , |
| Formato: | Periódico |
| Idioma: | English |
| Publicado em: |
Washington, D.C. :
International Monetary Fund,
2022.
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| coleção: | IMF Working Papers; Working Paper
;No. 2022/065 |
| Assuntos: | |
| Acesso em linha: | Full text available on IMF |