Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans
Daniel Rosch and
Additional contact information
Daniel Rosch: Leibniz University of Hannover
No 152008, Working Papers from Hong Kong Institute for Monetary Research
Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In response, financial regulators require financial institutions to base their capital on the 'Downturn' loss rate given default which is also known as Downturn LGD. This article proposes a concept for the Downturn LGD which incorporates econometric properties of credit risk as well as the information content of default and loss given default models. The concept is compared to an alternative proposal by the Department of the Treasury, the Federal Reserve System and the Federal Insurance Corporation. An empirical analysis is provided for Hong Kong mortgage loan portfolios.
Keywords: Basel II; Business Cycle; Capital Adequacy; Correlation; Credit Risk; Economic Downturn; Expected Loss; Fixed Income; Loss Given Default; Probability of Default; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: G20 G28 C51 (search for similar items in EconPapers)
Pages: 19 pages
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: Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 500 Internal Server Error (http://www.hkimr.org/uploads/publication/158/ub_full_0_2_184_hkimr-no-15_bw.pdf [301 Moved Permanently]--> http://www.aof.org.hk/research/HKIMR/uploads/publication/158/ub_full_0_2_184_hkimr-no-15_bw.pdf [301 Moved Permanently]--> https://www.aof.org.hk/research/HKIMR/uploads/publication/158/ub_full_0_2_184_hkimr-no-15_bw.pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hkm:wpaper:152008
Access Statistics for this paper
More papers in Working Papers from Hong Kong Institute for Monetary Research Contact information at EDIRC.
Bibliographic data for series maintained by HKIMR ().