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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur: Gross, Marco
Awduron Eraill: Ding, Xiaodan, Tereanu, Eugen, Tressel, Thierry
Fformat: Cylchgrawn
Iaith:English
Cyhoeddwyd: Washington, D.C. : International Monetary Fund, 2022.
Cyfres:IMF Working Papers; Working Paper ;No. 2022/065
Pynciau:
Mynediad Ar-lein:Full text available on IMF