Adjustable-rate mortgages in the era of global reflation: How to model additional default risk?

被引：0

作者：

Banai, Adam ^{[1
,2
]}

Berlinger, Edina ^{[3
]}

Domotor, Barbara ^{[3
]}

机构：

[1] Natl Bank Hungary, Execut Directorate Monetary Policy Instruments &, Budapest, Hungary

[2] John Neumann Univ, MNB Inst, Kecskemet, Hungary

[3] Corvinus Univ Budapest, Dept Finance, Budapest, Hungary

来源：

PLOS ONE | 2022年 / 17卷 / 03期

关键词：

MANAGEMENT; MARKET;

D O I：

10.1371/journal.pone.0263599

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

We investigate the problem of interest rate risk transforming into default risk of adjustable-rate mortgage loans in the EU. Bank regulation is strikingly not neutral in this aspect, it explicitly favors short-duration adjustable-rate loans over long-duration fixed-rate loans in the framework of the gap management. This asymmetry in the regulation creates perverse incentives both for banks and households, which can lead to aggressive risk-taking, over-indebtedness of unhedged households, high procyclicality of mortgage markets, and increased systemic risks. We present a stress test model to quantify potential losses stemming from this specific risk from the perspective of lender institutions. We estimate the average extra capital that is needed to cover the additional risk of adjustable-rate mortgage loans in the EU to be 0.53% of the value of the total mortgage portfolio and 1.97% of the value of the adjustable-rate mortgage portfolio. We propose introducing a stress test model as a new mandatory element into banks' risk management framework.

引用

页数：16