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Appendix A: Model Specifications

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
1. 1. L. D. ″. i. k. [. 1. ,. 80. ]. t. }. (. 1. L. M. I. C. o. ... β. M. o. r. t. ,. U. R. ). , multiplied by a bucket-level multiplier. (.
https://www.rba.gov.au/publications/rdp/2022/2022-03/appendix-a.html

Macrofinancial Stress Testing on Australian Banks

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
L. M. k. is a vector of multipliers that capture the propensity of LVR bucket k to default relative to the whole mortgage book. ... β. M. o. r. t. ,. U. R. difficult. Given this, we use a combination of approaches to calibrate this parameter.
https://www.rba.gov.au/publications/rdp/2022/2022-03/full.html

References

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
Bergmann M (2020), ‘The Determinants of Mortgage Defaults in Australia – Evidence for the Double-Trigger Hypothesis’, RBA Research Discussion Paper No 2020-03. ... Bloom N, M Floetotto, N Jaimovich, I Saporta-Eksten and SJ Terry (2018), ‘Really
https://www.rba.gov.au/publications/rdp/2022/2022-03/references.html

Credit Loss Modelling

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
L. M. k. is a vector of multipliers that capture the propensity of LVR bucket k to default relative to the whole mortgage book. ... β. M. o. r. t. ,. U. R. difficult. Given this, we use a combination of approaches to calibrate this parameter.
https://www.rba.gov.au/publications/rdp/2022/2022-03/credit-loss-modelling.html