Journal ArticleOPEN ACCESS

What Drives Mortgage Default Risk in Europe and the U.S.?

  • Tressel T
  • Tereanu E
  • Gross M
  • et al.
IMF Working Papers (2022) 2022(065) 1
DOI: 10.5089/9798400205705.001
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Abstract

Not read in detail. Idea: investigate the drivers of mortgage PD and LGD. (1) Theoretical structural micro-macro simulation model (enhanced version of IDHBS model) using balance sheet and income-expense flow data from 95.000 households (230.000 household members) from 21 EU countries and US (HFCS and PSID data). (2) Policy counterfactual analysis of responsiveness of PD, LGD and bank capital conditional on adverse COVID-19 related scenarios.

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Tressel, T., Tereanu, E., Gross, M., & Ding, X. (2022). What Drives Mortgage Default Risk in Europe and the U.S.? IMF Working Papers, 2022(065), 1. https://doi.org/10.5089/9798400205705.001

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