The Nature and Determinants of the Loss Given Default of Residential Mortgage Loans: Evidence from the Apartment Market (in Korean)

Doo Won Bang () and Yun Park ()
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Doo Won Bang: Housing Finance Research Institute, Korea Housing Finance Corporation

Economic Analysis (Quarterly), 2012, vol. 18, issue 4, 51-83

Abstract: We study the nature and the determinants of the LGD (loss given default) of defaulted residential mortgage loans in Korea for the 2006-2009 period using loan-level auction data. We restrict the sample to residential mortgage loans where collaterals are apartments and loans have senior claims. We find the CLTV (current loan-to-value) ratio has the greatest explanatory power (62.16%), followed by auction variables (26.60%), collateral characteristics (9.88%) and macro variables (1.35%). LGD rises quickly once CLTV reaches 80%. Finally, both the levels and the determinants of the LGD do not differ greatly either through the real estate market cycles or across real estate submarkets.

Keywords: Mortgage Loan; LGD; Determinants of LGD; Basel II; Auction (search for similar items in EconPapers)
JEL-codes: G10 G20 G21 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:18:y:2012:i:4:p:51-83

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