- Friday 9 October 2020
- Dr Benjamin Guin, Prudential Policy Directorate, Bank of England
The presentation will cover key results from two papers which highlight the roles of energy efficiency and extreme weather for credit risk in the mortgage market. Both examine a unique micro-level data set on residential mortgages in the United Kingdom.
The evidence presented in the first paper suggests that mortgages against energy-efficient properties are less frequently in payment arrears than mortgages against energy-inefficient properties. We conclude that energy efficiency is a relevant predictor of mortgage defaults.
The presentation will be complemented by key results from a second paper. It examines whether lenders account for extreme weather events. We find that lender valuations do not "mark-to-market" against local price declines. As a result, valuations are biased upwards. Second, lenders do not offset this valuation bias by adjusting interest rates or loan amounts. Third, borrowers with low credit risk self-select into high flood risk areas.
Dr Benjamin Guin works as an Economist at the Bank of England. He conducts research on topics in bank risk management and household finance. It focuses on credit risk in the mortgage market and aspects of sustainable finance.
He contributes to the development and evaluation of the regulatory framework for banks (such as Basel III post-crisis reforms) and represented the UK at the European Banking Authority.
Benjamin holds a PhD in Economics and Finance from the University of St Gallen (HSG). He has been a Chazen Visiting Scholar at Columbia University, Graduate School of Business. His research was published in the Review of Finance and the Journal of Financial Stability.