Risk developments on the retail mortgage loan market
AbstractIn this study, using three commercial banks’ retail mortgage loan portfolios (consisting of approximately 200,000 clients with housing and home equity loans), we analyse the risk characteristics of the portfolio, identify customer-specific and product-specific factors, and market and macroeconomic factors that influence portfolio quality, and finally calculate the loan loss on the retail mortgage portfolio of the banking sector in an extreme macro-risk scenario (10 per cent decline in GDP; exchange rate of EUR/HUF 340). Our findings suggest that the loans’ denomination structure, the initial loan-to-value (LTV) ratio and the debtor’s level of education can be considered as the main customer-specific and product-specific drivers of default risk, while the unemployment rate, domestic and foreign interest rates as well as the exchange rate constitute the major macro-risk factors impacting defaults. Based on our calculations, in the macro-risk scenario the total loss on the retail mortgage loan portfolio of the banking sector would amount to HUF 372 billion, which is approximately 6 per cent of the end-2008 mortgage loan portfolio.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Magyar Nemzeti Bank (the central bank of Hungary) in its journal MNB Bulletin.
Volume (Year): 4 (2009)
Issue (Month): 3 (October)
credit risk; stress test.;
Find related papers by JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maja Bajcsy).
If references are entirely missing, you can add them using this form.