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Original title:
Modeling a distribution of mortgage credit losses
Authors: Gapko, Petr ; Šmíd, Martin
Document type: Papers
Conference/Event: 28-th International Conference on Mathematical Methods in Economics, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Year: 2010
Language: eng
Abstract: 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.
Keywords: Credit Risk; Delinquency Rate; Generalized Hyperbolic Distribution; Mortgage; Normal Distribution
Project no.: CEZ:AV0Z10750506 (CEP), 46108, GD402/09/H045 (CEP), GA402/09/0965 (CEP)
Funding provider: Univerzita Karlova - GAUK, GA ČR, GA ČR
Host item entry: Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2
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/2010/E/gapko-modeling a distribution of mortgage credit losses.pdf
Original record: http://hdl.handle.net/11104/0188376
Permalink: http://www.nusl.cz/ntk/nusl-41706
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Authors: Gapko, Petr ; Šmíd, Martin
Document type: Papers
Conference/Event: 28-th International Conference on Mathematical Methods in Economics, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Year: 2010
Language: eng
Abstract: 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.
Keywords: Credit Risk; Delinquency Rate; Generalized Hyperbolic Distribution; Mortgage; Normal Distribution
Project no.: CEZ:AV0Z10750506 (CEP), 46108, GD402/09/H045 (CEP), GA402/09/0965 (CEP)
Funding provider: Univerzita Karlova - GAUK, GA ČR, GA ČR
Host item entry: Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2
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/2010/E/gapko-modeling a distribution of mortgage credit losses.pdf
Original record: http://hdl.handle.net/11104/0188376
Permalink: http://www.nusl.cz/ntk/nusl-41706
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2011-07-01, last modified 2024-01-26