Název: Modeling a distribution of mortgage credit losses
Autoři: Gapko, Petr ; Šmíd, Martin
Typ dokumentu: Příspěvky z konference
Konference/Akce: 28-th International Conference on Mathematical Methods in Economics, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Rok: 2010
Jazyk: eng
Abstrakt: One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers’ assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage deliquency rates.
Klíčová slova: Credit Risk; Delinquency Rate; Generalized Hyperbolic Distribution; Mortgage; Normal Distribution
Číslo projektu: CEZ:AV0Z10750506 (CEP), 46108, GD402/09/H045 (CEP), GA402/09/0965 (CEP)
Poskytovatel projektu: Univerzita Karlova - GAUK, GA ČR, GA ČR
Zdrojový dokument: Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2

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/2010/E/gapko-modeling a distribution of mortgage credit losses.pdf
Původní záznam: http://hdl.handle.net/11104/0188376

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-41706


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference