scholarly journals House prices and credit risk: Evidence from the United States

2015 ◽  
Vol 51 ◽  
pp. 123-135 ◽  
Author(s):  
Mohammad Tajik ◽  
Saeideh Aliakbari ◽  
Thaana Ghalia ◽  
Sepideh Kaffash
Keyword(s):  
United States ◽  
Credit Risk ◽  
House Prices ◽  
The United States

scholarly journals Forecasting House Prices in the United States with Multiple Structural Breaks

2014 ◽  
Vol 6 (1) ◽  
pp. 1-23 ◽  
Author(s):  
Mahua Barari ◽  
Nityananda Sarkar ◽  
Srikanta Kundu ◽  
Kushal Banik Chowdhury
Keyword(s):  
United States ◽  
Structural Breaks ◽  
House Prices ◽  
The United States ◽  
Multiple Structural Breaks

On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1403-1442 ◽  
Author(s):  
Junye Li ◽  
Gabriele Zinna
Keyword(s):  
United States ◽  
United Kingdom ◽  
Credit Risk ◽  
Systemic Risk ◽  
Risk Model ◽  
The United States ◽  
Risk Premia ◽  
Bank Credit ◽  
The United Kingdom ◽  
Credit Risk Model

AbstractWe develop a multivariate credit risk model that accounts for joint defaults of banks and allows us to disentangle how much of banks’ credit risk is systemic. We find that the United States and United Kingdom differ not only in the evolution of systemic risk but, in particular, in their banks’ systemic exposures. In both countries, however, systemic credit risk varies substantially, represents about half of total bank credit risk on average, and induces high risk premia. The results suggest that sovereign and bank systemic risk are particularly interlinked in the United Kingdom.

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