Alessi, Lucia and you may Detken, Carsten (2018), Pinpointing extreme credit gains and you can leverage, Diary regarding Monetary Stability, Vol
As well as rate of interest chance, households’ resilience so you’re able to income surprises is actually analyzed having fun with a possibility of standard (PD) design. There are numerous alternatives for estimating PDs: among them is using historical study of actual non-payments and you may fitted an excellent logistic regression. The brand new ECB set up an excellent pooled logistic regression model, according to financing level studies and lots of macroeconomic signs, to imagine you to-year-in the future probabilities of default to have mortgage loans. Which model helps you get aside-of-shot PDs around baseline and you may unfavorable issues (Graph step 3, panel b).
Chart step three
Monitoring lending conditions within origination will bring a measure of financial exposure providing, and projecting household defaults helps in examining threats in the home markets
