Alessi, Lucia and you may Detken, Carsten (2018), Pinpointing excess borrowing from the bank gains and you can control, Log off Economic Balances, Vol

In addition to rate of interest chance, households’ resilience to earnings surprises is actually analyzed playing with an odds of default (PD) model. There are a few alternatives for estimating PDs: one of them is using historic analysis out-of genuine defaults and you may fitted a logistic regression. The fresh new ECB developed a good pooled logistic regression design, considering mortgage peak investigation and many macroeconomic indicators, so you can guess you to definitely-year-in the future possibilities of default to possess mortgages. It design can help you see away-of-sample PDs around baseline and adverse situations (Chart step 3, committee b).

Chart 3

Monitoring lending requirements at the origination brings a measure of financial risk providing, and you can projecting home defaults helps in assessing threats regarding family sector

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