Název: Multi-period Factor Model of a Loan Portfolio
Autoři: Šmíd, Martin ; Dufek, J.
Typ dokumentu: Výzkumné zprávy
Rok: 2017
Jazyk: eng
Edice: Research Report, svazek: 2363
Abstrakt: We construct a general dynamic model of losses of a large loan portfolio, secured by collaterals. In the model, the wealth of a debtor and the price of the corresponding collateral depend each on two factors: a common one, having a general distribution, and an individual one, following an AR(1) process. The default of a loan happens if the wealth stops to be su cient for repaying the loan. We show that the mapping transforming the common factors into the probability of default (PD) and the loss given default (LGD) is one-to-one twice continuously differentiable. As the transformation is not analytically tractable, we propose a numerical technique for its computation and demonstrate its accuracy by a numerical study.\nWe show that the results given by our multi-period model may differ signi cantly from\nthose resulting from single-period models, and demonstrate that our model naturally replicates\nthe empirically observed decrease of PDs within a portfolio in time. In addition, we give a formula for the overall loss of the portfolio and, as an example of its application, we formulate a simple optimal scoring decision problem and discuss its solution.
Klíčová slova: Credit Risk; Loan Portfolio Management; Structural Factor Models

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2017/E/smid-0480803.pdf
Původní záznam: http://hdl.handle.net/11104/0276487

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-369356


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