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› Working paper › Housing prices › Centre for International Finance and Regulation Archive

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    Working paper

    Liquidity constraints, home equity and residential mortgage losses
    6 Jun 2016
    10
    Hung Xuan Do, Daniel Rosch, Harald Scheule
    Centre for International Finance and Regulation

    This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with...

    Working paper

    Real estate cycles and bank systemic risks
    31 May 2016
    37
    Chanyuan Ge, Egon Kalotay, Thomas Longden, Geoffrey Loudon, Stefan Trueck
    Centre for International Finance and Regulation

    We present an empirical model of systemic banking crises from an Australian perspective. Having no history of domestic banking crises in recent history, our quantitative model is estimated using an international panel data set spanning 18 countries and 30 years of observations. We evaluate in...

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