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This article presents a methodological framework for estimating the environmental impact of mortgage bond purchases. The model presented through the Mortgage bond purchase programme of the Magyar Nemzeti Bank (MNB), the Central Bank of Hungary builds on the changing composition of the Hungarian housing stock, and its main assumption is that, while...
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The paper analyses the Loss Given Default (LGD) rates of residential mortgages, using a model based on stochastic collateral value. The implementation of the model is based on exponential Ornstein-Uhlenbeck processes fitted to the Hungarian regions' house price indices. According to the model results, in case of a mortgage with a 80% loan-to-value...