Model-based estimates of the resilience of mortgages at origination
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- Kelly, Robert & O’Malley, Terence, 2016.
"The good, the bad and the impaired: A credit risk model of the Irish mortgage market,"
Journal of Financial Stability, Elsevier, vol. 22(C), pages 1-9.
- Kelly, Robert, 2011. "The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market," Research Technical Papers 13/RT/11, Central Bank of Ireland.
- Gaffney, Edward & Kelly, Robert & McCann, Fergal, 2014. "A transitions-based framework for estimating expected credit losses," Research Technical Papers 16/RT/14, Central Bank of Ireland.
- Jackson, Christopher, 2011. "Multi-State Models for Panel Data: The msm Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 38(i08).
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Cited by:
- Gaffney, Edward & McCann, Fergal, 2019. "The cyclicality in SICR: mortgage modelling under IFRS 9," ESRB Working Paper Series 92, European Systemic Risk Board.
- Gaffney, Edward & McCann, Fergal, 2018. "The cyclicality in SICR: mortgage modelling under IFRS 9," Research Technical Papers 16/RT/18, Central Bank of Ireland.
- McCann, Fergal & Ryan, Ellen, 2016. "Originating Loan to Value ratios and the resilience of mortgage portfolios," Economic Letters 10/EL/16, Central Bank of Ireland.
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This paper has been announced in the following NEP Reports:- NEP-URE-2016-12-11 (Urban and Real Estate Economics)
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