Do LTV and DSTI caps make banks more resilient?

This study provides a few responses to the question of the effectiveness of Loan-To-Value (LTV) and Debt Service-To-Income (DSTI) caps to contribute to financial stability. Using a lender’s risk management perspective, the paper provides a new methodology extending the standard asymptotic single risk factor to a multifactor framework, the additional factors being linked to LTV or DSTI tranches.

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Do LTV and DSTI caps make banks more resilient?
  • Publié le 07/06/2014
  • FR
  • PDF (466.78 Ko)
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Mis à jour le : 19/03/2019 15:48