Original title:
Model of Risk and Losses of a Multigeneration Mortgage Portfolio
Authors:
Šmíd, Martin Document type: Papers Conference/Event: International Scientific Conference Financial management of firms and financial institutions Ostrava /10./, Ostrava (CZ), 2015-09-07 / 2015-09-08
Year:
2015
Language:
eng Abstract:
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.
Keywords:
charge off rate; default rate; loan portfolio; risk management Project no.: GA13-25911S (CEP), EE2.3.20.0296 Funding provider: GA ČR, GA MŠk Host item entry: 10th International Scientific Conference Financial management of firms and financial institutions Ostrava, ISSN 2336-162X