Název:
Model of Risk and Losses of a Multigeneration Mortgage Portfolio
Autoři:
Šmíd, Martin Typ dokumentu: Příspěvky z konference Konference/Akce: International Scientific Conference Financial management of firms and financial institutions Ostrava /10./, Ostrava (CZ), 2015-09-07 / 2015-09-08
Rok:
2015
Jazyk:
eng
Abstrakt: During the last decades, Merton-Vasicek factor model (1987), later generalize by Frye at al. (2000), became standards in credit risk management. We present a generalization of these models allowing multiple sub-portfolios of loans possibly starting at different times and lasting more than one period. We show that, given this model, a one-to-one mapping between factors and the overall default rate and the charge-off rate exists, is differentiable and numerically computable.
Klíčová slova:
charge off rate; default rate; loan portfolio; risk management Číslo projektu: GA13-25911S (CEP), EE2.3.20.0296 Poskytovatel projektu: GA ČR, GA MŠk Zdrojový dokument: 10th International Scientific Conference Financial management of firms and financial institutions Ostrava, ISSN 2336-162X