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

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2015/E/smid-0452187.pdf
Original record: http://hdl.handle.net/11104/0253702

Permalink: http://www.nusl.cz/ntk/nusl-201268


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