Alessi, Lucia and you will Detken, Carsten (2018), Pinpointing too much borrowing progress and you will leverage, Record regarding Financial Balances, Vol
Along with rate of interest exposure, households’ resilience so you’re able to earnings shocks is actually analyzed using a probability of standard (PD) model. There are a few alternatives for quoting PDs: included in this is utilizing historic studies regarding real defaults and installing good logistic regression. New ECB establish a pooled logistic regression model, considering mortgage level studies and some macroeconomic indications, so you can imagine you to-year-in the future possibilities of standard to have mortgage loans. That it design helps you receive aside-of-try PDs around baseline and you can unfavorable issues (Chart 3, committee b).
Chart step 3
Overseeing lending standards at the origination will bring a way of measuring financial risk getting, and you can projecting household non-payments assists with assessing risks in the household market