2024-03-28T16:05:33Zhttps://repositorio.bde.es/oai/requestoai:repositorio.bde.es:123456789/69072023-12-12T09:01:52Zcom_123456789_5661com_123456789_21col_123456789_5690
Saurina Salas, Jesús
Trucharte, Carlos
2019-08-10T17:50:03Z
2019-08-10T17:50:03Z
2007-05-17
ISSN: 0213-2710 (en papel)
ISSN: 1579-8666 (en línea)
https://repositorio.bde.es/handle/123456789/6907
000190592
DTRA-200712-eng
In this paper we develop a probability of default (PD) model for mortgage loans, taking advantage of the Spanish Credit Register, a comprehensive database on loan characteristics and credit quality. From that model, we calculate different types of PDs: point in time, PIT, through the cycle, TTC, average across the cycle and acyclical. Then, we compare capital requirements coming from the different Basel II approaches. We show that minimum regulatory capital under Basel II can be very sensitive to the risk measurement methodology employed. Thus, the procyclicality of regulatory capital requirements under Basel II is an open question, depending on the way internal rating systems are implemented and their output is utilised. We focus on the mortgage portfolio since it is one of the most under researched areas regarding the impact of Basel II and because it is one of the most important banks' portfolios
eng
https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES
http://rightsstatements.org/vocab/InC-NC/1.0/
Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
In Copyright - Non Commercial Use Permitted
Procyclicality
Basel II
Rating systems
Mortgages
An assessment of Basel II procyclicality in mortgage portfolios
Documento de trabajo