01699cas a2200253 a 4500 AALejournalIMF005716 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451872262 1018-5941 BD-DhAAL BD-DhAAL Pinheiro, Marcelo. Exposure to Real Estate Losses : Evidence from the US Banks / Marcelo Pinheiro, Deniz Igan. Washington, D.C. : International Monetary Fund, 2009. 1 online resource (33 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We implement a three-step procedure to assess the extent of exposure to real estate in commercial banks. First, we demonstrate interest rates and income to be the major determinants of delinquency. Then, we adopt a stress testing approach to calculate the impact of any adverse changes in these determinants. This suggests that a 1.3 percentage point increase in mortgage interest rate leads to a 20 percent decrease in a typical bank's distance to default. Finally, we look at the cross-sectional differences and indentify the banks with rapid loan growth along with high cost-income ratio as the most vulnerable. Mode of access: Internet Igan, Deniz. IMF Working Papers; Working Paper ; No. 2009/079 Full text available on IMF http://elibrary.imf.org/view/journals/001/2009/079/001.2009.issue-079-en.xml IMF e-Library