Download or read book Loss Given Default of High Loan to value Residential Mortgages written by Min Qi and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies residential mortgage loss given default using a large set of historical loan-level default and recovery data of high loan-to-value mortgages from several private mortgage insurance companies. We show that loss given default can largely be explained by various characteristics associated with the loan, the underlying property, and the default, foreclosure, and settlement process. We find that the current loan-to-value ratio is the single most important determinant. More importantly, mortgage loss severity in distressed housing markets is significantly higher than under normal housing market conditions. Our empirical results have important policy implications for risk-based capital.
Download or read book Do Lenders Make Less Informed Investments in High Growth Housing Markets written by Sophia Chen and published by International Monetary Fund. This book was released on 2021-05-27 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlocal mortgage lenders with greater exposure to high-growth housing markets accept fewer loan applications in these markets and experience greater stock return volatility. When these lenders expand to high-growth markets, they also ration credit to a significantly greater degree than when they ex-pand to other markets. Mean-variance analyses show that nonlocal lenders’ exposure to high-growth markets is associated with more risk, more efficiency, and more return on mortgage portfolios. Overall, these results imply that expansion to high-growth markets leads to a decline in screening and riskier investment by nonlocal lenders, which may reflect a risk–return tradeoff in their portfolio strategy.
Download or read book Credit Risk Models and Management written by David C. Shimko and published by . This book was released on 2004 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recovery Risk written by Edward I. Altman and published by Bloomberg Press. This book was released on 2005-01-01 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this ground-breaking new title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
Download or read book Reducing Foreclosures written by Christopher Foote and published by DIANE Publishing. This book was released on 2009 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Takes a skeptical look at a leading argument about what is causing the foreclosure crisis and what should be done to stop it. The authors focus on two key decisions: the borrower's choice to default on a mortgage and the lender's subsequent choice whether to renegotiate or modify the loan. Unaffordable loans, defined as those with high mortgage payments relative to income at origination, are unlikely to be the main reason that borrowers decide to default. The efficiency of foreclosure for investors is a more plausible explanation for the low number of modifications to date. Policies designed to reduce foreclosures should focus on ameliorating the effects of job loss rather than modifying loans to make them more affordable on a long-term basis. Illustrations.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Use and Effectiveness of Macroprudential Policies written by Mr.Eugenio Cerutti and published by International Monetary Fund. This book was released on 2015-03-17 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a recent IMF survey and expanding on previous studies, we document the use of macroprudential policies for 119 countries over the 2000-13 period, covering many instruments. Emerging economies use macroprudential policies most frequently, especially foreign exchange related ones, while advanced countries use borrower-based policies more. Usage is generally associated with lower growth in credit, notably in household credit. Effects are less in financially more developed and open economies, however, and usage comes with greater cross-border borrowing, suggesting some avoidance. And while macroprudential policies can help manage financial cycles, they work less well in busts.
Download or read book Credit Risk Analytics written by Bart Baesens and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
Download or read book Understanding the Securitization of Subprime Mortgage Credit written by Adam B. Ashcraft and published by DIANE Publishing. This book was released on 2010-03 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. Discusses the ways that market participants work to minimize these frictions and speculate on how this process broke down. Continues with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. Presents the key structural features of a typical subprime securitization, documents how rating agencies assign credit ratings to mortgage-backed securities, and outlines how these agencies monitor the performance of mortgage pools over time. The authors draw upon the example of a mortgage pool securitized by New Century Financial during 2006. Illustrations.
Download or read book Credit Scoring and Its Applications Second Edition written by Lyn Thomas and published by SIAM. This book was released on 2017-08-16 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Scoring and Its Applications is recognized as the bible of credit scoring. It contains a comprehensive review of the objectives, methods, and practical implementation of credit and behavioral scoring. The authors review principles of the statistical and operations research methods used in building scorecards, as well as the advantages and disadvantages of each approach. The book contains a description of practical problems encountered in building, using, and monitoring scorecards and examines some of the country-specific issues in bankruptcy, equal opportunities, and privacy legislation. It contains a discussion of economic theories of consumers' use of credit, and readers will gain an understanding of what lending institutions seek to achieve by using credit scoring and the changes in their objectives. New to the second edition are lessons that can be learned for operations research model building from the global financial crisis, current applications of scoring, discussions on the Basel Accords and their requirements for scoring, new methods for scorecard building and new expanded sections on ways of measuring scorecard performance. And survival analysis for credit scoring. Other unique features include methods of monitoring scorecards and deciding when to update them, as well as different applications of scoring, including direct marketing, profit scoring, tax inspection, prisoner release, and payment of fines.
Download or read book Consumer Credit Models written by Lyn C. Thomas and published by OUP Oxford. This book was released on 2009-01-29 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of credit scoring - the quantitative and statistical techniques to assess the credit risks involved in lending to consumers - has been one of the most successful if unsung applications of mathematics in business for the last fifty years. Now with lenders changing their objectives from minimising defaults to maximising profits, the saturation of the consumer credit market allowing borrowers to be more discriminating in their choice of which loans, mortgages and credit cards to use, and the Basel Accord banking regulations raising the profile of credit scoring within banks there are a number of challenges that require new models that use credit scores as inputs and extensions of the ideas in credit scoring. This book reviews the current methodology and measures used in credit scoring and then looks at the models that can be used to address these new challenges. The first chapter describes what a credit score is and how a scorecard is built which gives credit scores and models how the score is used in the lending decision. The second chapter describes the different ways the quality of a scorecard can be measured and points out how some of these measure the discrimination of the score, some the probability prediction of the score, and some the categorical predictions that are made using the score. The remaining three chapters address how to use risk and response scoring to model the new problems in consumer lending. Chapter three looks at models that assist in deciding how to vary the loan terms made to different potential borrowers depending on their individual characteristics. Risk based pricing is the most common approach being introduced. Chapter four describes how one can use Markov chains and survival analysis to model the dynamics of a borrower's repayment and ordering behaviour . These models allow one to make decisions that maximise the profitability of the borrower to the lender and can be considered as part of a customer relationship management strategy. The last chapter looks at how the new banking regulations in the Basel Accord apply to consumer lending. It develops models that show how they will change the operating decisions used in consumer lending and how their need for stress testing requires the development of new models to assess the credit risk of portfolios of consumer loans rather than a models of the credit risks of individual loans.
Download or read book Stress Testing and Calibration of Macroprudential Policy Tools written by Lucyna Gornicka and published by . This book was released on 2020-08-14 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The proposed approach is very flexible and is particularly useful when there is limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and when structural shocks or changes in financial regulations have altered the loan default process. We apply the model to quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk bucket and vintage, which enables us to take explicit account of the loan life cycle and to incorporate the housing and economic cycles. This feature facilitates a timely assessment of banks' loss-absorbing capacity and the buildup of systemic risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy interventions.
Download or read book Hidden in Plain Sight written by Peter J. Wallison and published by Encounter Books. This book was released on 2016-03-29 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2008 financial crisis—like the Great Depression—was a world-historical event. What caused it will be debated for years, if not generations. The conventional narrative is that the financial crisis was caused by Wall Street greed and insufficient regulation of the financial system. That narrative produced the Dodd-Frank Act, the most comprehensive financial-system regulation since the New Deal. There is evidence, however, that the Dodd-Frank Act has slowed the recovery from the recession. If insufficient regulation caused the financial crisis, then the Dodd-Frank Act will never be modified or repealed; proponents will argue that doing so will cause another crisis. A competing narrative about what caused the financial crisis has received little attention. This view, which is accepted by almost all Republicans in Congress and most conservatives, contends that the crisis was caused by government housing policies. This book extensively documents this view. For example, it shows that in June 2008, before the crisis, 58 percent of all US mortgages were subprime or other low-quality mortgages. Of these, 76 percent were on the books of government agencies such as Fannie Mae and Freddie Mac. When these mortgages defaulted in 2007 and 2008, they drove down housing prices and weakened banks and other mortgage holders, causing the crisis. After this book is published, no one will be able to claim that the financial crisis was caused by insufficient regulation, or defend Dodd-Frank, without coming to terms with the data this book contains.
Download or read book Asset Pricing Real Estate and Public Finance over the Crisis written by A. Carretta and published by Springer. This book was released on 2013-02-03 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current financial crisis started from the US real estate market and after, though the increase of risk premium requested by investors and due to the lack of liquidity of all financial markets, it became a world financial crisis. A detailed analysis during the crisis focuses attention on asset management, the real estate and public sector.
Download or read book Key Aspects of Macroprudential Policy Background Paper written by International Monetary Fund. Fiscal Affairs Dept. and published by International Monetary Fund. This book was released on 2013-10-06 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.
Download or read book Kingdom of the Netherlands The Netherlands written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2024-06-18 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroprudential policy in the Netherlands has centered on the residential real estate (RRE) market given the importance of this market for households, banks, and insurers. RRE represents nearly 50 percent of total household assets, and housing loans account for about 85 percent of total household liabilities, more than half of Dutch banks’ domestic loan portfolio, and 15 percent of insurers’ assets. Authorities have therefore actively used RRE-related macroprudential tools, such as banks’ capital risk weighting of residential mortgage loans, limits on loan-to-value (LTV) and debt service-to-income (DSTI) ratios for mortgages, or mortgage interest deductibility from taxes (MID).
Download or read book Subprime Mortgage Credit Derivatives written by Laurie S. Goodman and published by John Wiley & Sons. This book was released on 2008-06-02 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
