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This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis is based on a large loan-level sub-prime residential mortgage loss dataset from 1998 to 2009. Results show that house price history has a long memory in explaining LGD. Its explanatory power far exceeds the original LTV and other loan characteristics. This paper offers a countercyclical view of LGD risk. The model can be combined with a default probability model to serve as a regulatory prudential tool. Such a tool provides a solution to the inherent procyclical bias in BASEL II capital requirements, and can contribute to the safety and soundness of banking institutions.
Default (Finance) --- Housing --- Prices --- Econometric models. --- Affordable housing --- Homes --- Houses --- Housing needs --- Residences --- Slum clearance --- Urban housing --- City planning --- Dwellings --- Human settlements --- Finance --- Finance, Public --- Repudiation --- Social aspects --- Infrastructure --- Real Estate --- Industries: Financial Services --- Housing Supply and Markets --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Economic Development: Urban, Rural, Regional, and Transportation Analysis --- Property & real estate --- Macroeconomics --- Housing prices --- Loans --- Collateral --- Saving and investment --- United States
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This book introduces a unified implementation of bond- and state-based peridynamic theory (PD) within a commercial finite element framework, Ansys, utilizing its native elements. It details the implementation of the PD theory and its integration with traditional finite elements. The primary objective is to equip students, researchers, and practicing engineers with both theoretical and practical knowledge of the PD theory, along with the skills necessary for analyzing engineering problems using Ansys. The book demonstrates that, unlike the conventional finite element method (FEM), the PD theory is highly suitable for progressive failure analysis, the multi-scale analysis of materials involving fracture and failure, and multi-physics analysis, including electromigration, corrosion, and electrodeposition. Additionally, it provides a step-by-step illustration of the specific procedures in the pre-processing, solution, and post-processing phases of the analysis through the Graphical User Interface (GUI) for various applications. The book is designed to be introductory and self-contained, minimizing the need for additional reference material. Describes an implementation of PD theory and its coupling to finite element method in Ansys, using its native elements; Utilization of Ansys through both the Graphics User Interface (GUI) and the Ansys Parametric Design Language (APDL); Explains the process for solving problems in various applications with the Ansys GUI, includes Ansys input files.
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Differential equations --- Mathematical physics --- Fluid mechanics --- Artificial intelligence. Robotics. Simulation. Graphics --- differentiaalvergelijkingen --- mineralen (chemie) --- mijnbouw --- wiskunde --- fysica --- mechanica
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