Název:
Multifactor dynamic credit risk model
Autoři:
Dufek, J. ; Šmíd, Martin Typ dokumentu: Příspěvky z konference Konference/Akce: MME 2014. International Conference Mathematical Methods in Economics /32./, Olomouc (CZ), 2014-09-10 / 2014-09-12
Rok:
2014
Jazyk:
eng
Abstrakt: We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance.
Klíčová slova:
credit risk; default rate; loss given default Zdrojový dokument: 32nd International Conference Mathematical Methods in Economics MME 2014, ISBN 978-80-244-4209-9