Series: IMF Working Papers
Author(s): Marcelo Pinheiro , and Deniz Igan
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2009
Keywords: Residential and Commercial Real Estate, Delinquency, Distance to Default, real estate, real estate loans, commercial real estate, mortgage, commercial real estate loans,
We implement a three-step procedure to assess the extent of exposure to real estate in commercial banks. First, we demonstrate interest rates and income to be the major determinants of delinquency. Then, we adopt a...