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A Vulnerability Analysis for Mortgaged Irish Households

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  • Tsiropoulos, Vasilis

    (Central Bank of Ireland)

Abstract

This note assesses the vulnerability of mortgaged Irish households to financial shocks. It uses the Central Bank of Ireland’s Loan Loss Forecasting internal model and employs loan level data provided by the five main mortgage lenders. The model calculates a vulnerability index for currently performing mortgages under a certain adverse scenario which involves movements in the unemployment rate, house prices and interest rates. The model predicts that the most vulnerable households are those with high current loan-to-value ratios, multiple loans, loans that originated between 2004 and 2009 and those in South-East, Midland and Border region.

Suggested Citation

  • Tsiropoulos, Vasilis, 2018. "A Vulnerability Analysis for Mortgaged Irish Households," Financial Stability Notes 2/FS/18, Central Bank of Ireland.
    • Handle: RePEc:cbi:fsnote:2/fs/18
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    File URL: https://www.centralbank.ie/docs/default-source/publications/financial-stability-notes/no.2-2018-a-vulnerability-analysis-for-mortgaged-irish-households-(tsiropoulos).pdf?sfvrsn=4
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    References listed on IDEAS

    as
    1. Kelly, Robert & O’Malley, Terence, 2016. "The good, the bad and the impaired: A credit risk model of the Irish mortgage market," Journal of Financial Stability, Elsevier, vol. 22(C), pages 1-9.
    2. Kelly, Robert & McCann, Fergal, 2015. "Households in long-term mortgage arrears:lessons from economic research," Economic Letters 11/EL/15, Central Bank of Ireland.
    3. Lawless, Martina & Lydon, Reamonn & McIndoe-Calder, 2015. "The Financial Position of Irish Households," Quarterly Bulletin Articles, Central Bank of Ireland, pages 66-89, January.
    4. Jackson, Christopher, 2011. "Multi-State Models for Panel Data: The msm Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 38(i08).
    5. McCarthy, Yvonne, 2014. "Dis-entangling the mortgage arrears crisis: The rolw of the labour market, income volatility and housing equity," Research Technical Papers 02/RT/14, Central Bank of Ireland.
    6. Kelly, Robert & O'Malley, Terence, 2014. "A Transitions-Based Model of Default for Irish Mortgages," Research Technical Papers 17/RT/14, Central Bank of Ireland.
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