The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market
AbstractUsing a uniquely constructed loan-level dataset of the residential mortgage book of Irish financial institutions, this paper provides a framework for estimating default probabilities of individual mortgages. In particular, the paper examines the progression of mortgages in arrears from 90 days to 360 days. This question is of major financial stability concern in an Irish context as the uncertainty concerning the quality of the loan books of the Irish financial institutions is due, in the main, to the perceived impaired nature of the residential mortgage book. Using this approach, default probabilities are shown to be “hump shaped” when conditioned on loan vintage, with loans originating between 2004 and 2006 are most likely to default.
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Bibliographic InfoPaper provided by Central Bank of Ireland in its series Research Technical Papers with number 13/RT/11.
Date of creation: Nov 2011
Date of revision:
Probability of Default; Mortgages; Irish Banking System;
Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
- NEP-BAN-2011-12-13 (Banking)
- NEP-RMG-2011-12-13 (Risk Management)
- NEP-URE-2011-12-13 (Urban & Real Estate Economics)
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