Benchmarking the Loss Given Default Parameter for Mortgage Loan Portfolios Under Stress

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2016-11-01 DOI:10.21314/JCR.2016.217

C. Greve, L. Hahnenstein

引用次数: 0

Abstract

In this paper, we analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loans. After discussing the shape of a portfolio's loan-to-value (LTV) distribution, we prove that the average LGD's stress sensitivity depends on the LTV distribution, and we derive a closed-form solution for portfolio LGD under the assumption of beta-distributed LTV ratios. Further, we present numerical evidence that the relationship between LTV distribution and portfolio LGD is crucial for understanding the stress resilience of banks involved in the mortgage business. Our formula appears to be a meaningful starting point for benchmarking analyses by regulators, rating agencies and risk managers.

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压力下抵押贷款组合的违约参数损失基准分析

在本文中，我们分析了房地产价格下跌导致抵押品的压力回收率对抵押贷款组合中给定违约损失(LGD)参数的影响。在讨论了投资组合的贷款价值比(LTV)分布的形状之后，我们证明了平均LGD的应力敏感性取决于LTV的分布，并推导了在β分布LTV比率假设下的投资组合LGD的封闭解。此外，我们提供的数值证据表明，LTV分布与投资组合LGD之间的关系对于理解涉及抵押贷款业务的银行的压力弹性至关重要。我们的公式似乎是监管机构、评级机构和风险管理机构进行基准分析的一个有意义的起点。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.