The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market

Robert Kelly

No 13/RT/11, Research Technical Papers from Central Bank of Ireland

Abstract: Using 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.

Keywords: Probability of Default; Mortgages; Irish Banking System (search for similar items in EconPapers)
JEL-codes: G01 G12 G21 (search for similar items in EconPapers)
Date: 2011-11
New Economics Papers: this item is included in nep-ban, nep-rmg and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Related works:
Journal Article: The good, the bad and the impaired: A credit risk model of the Irish mortgage market (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:13/rt/11

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