Original title: Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio
Authors: Šmíd, Martin ; Gapko, Petr
Document type: Papers
Conference/Event: 47th EWGFM meeting, Praha (CZ), 2010-10-28 / 2010-10-30
Year: 2010
Language: eng
Abstract: We propose a dynamic model of mortgage credit losses. We assume borrowers to hold assets covering the instalments and to own a real estate which serves as a collateral; both the value of the assets and the price of the estate follow general stochastic processes driven by common and individual factors. We describe the correspondence between the common factors, the percentage of defaults and the loss given default and we suggest a procedure of econometric estimation of the model.
Keywords: credit risk; dynamic model; estimation; loan portfolio; mortgage
Project no.: CEZ:AV0Z10750506 (CEP), GA402/09/0965 (CEP), GD402/09/H045 (CEP)
Funding provider: GA ČR, GA ČR
Host item entry: Proceedings of the 47th European Working Group on Financial Modelling, ISBN 978-80-248-2351-5

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/smid-dynamic model of losses of creditor with a large mortgage portfolio.pdf
Original record: http://hdl.handle.net/11104/0191435

Permalink: http://www.nusl.cz/ntk/nusl-42146


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