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Three Essays on Credit Risk Quantification
Gapko, Petr ; Šmíd, Martin (advisor) ; Witzany, Jiří (referee) ; Tichý, Tomáš (referee) ; D'Ecclesia, Rita Laura (referee)
The dissertation thesis deals with modeling and estimating credit risk. In the thesis we particularly focus on the credit risk of retail, and more exactly mortgage, debtors. The thesis is organized into three separate papers with a common theme, which is a development of a credit risk measurement methodology from simpler enhancements of the current research to a model able to capture such details as e.g. the duration structure of the mortgage portfolio. All three papers use the same underlying dataset, a time series of the national US mortgage portfolio delinquency and foreclosure rates. As the research was done during several years, the latter parts of the thesis work with additional observations. In the first paper, we demonstrate that the current regulatory standards for credit risk quantification are based on assumptions that do not necessarily match the reality. Generalizing the well-known Vasicek's model, standing behind the Basel II, we build a model of a credit risk of a loan portfolio. The model, similarly to the Vasicek's model, decomposes the credit risk (expressed as the portfolio probability of default) into two risk factors, one common for all borrowers in the portfolio, and one individual for each single borrower. Our model involves dynamics of the common factor, which influences the...
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Three Essays on Credit Risk Quantification
Gapko, Petr ; Šmíd, Martin (advisor) ; Witzany, Jiří (referee) ; Tichý, Tomáš (referee) ; D'Ecclesia, Rita Laura (referee)
The dissertation thesis deals with modeling and estimating credit risk. In the thesis we particularly focus on the credit risk of retail, and more exactly mortgage, debtors. The thesis is organized into three separate papers with a common theme, which is a development of a credit risk measurement methodology from simpler enhancements of the current research to a model able to capture such details as e.g. the duration structure of the mortgage portfolio. All three papers use the same underlying dataset, a time series of the national US mortgage portfolio delinquency and foreclosure rates. As the research was done during several years, the latter parts of the thesis work with additional observations. In the first paper, we demonstrate that the current regulatory standards for credit risk quantification are based on assumptions that do not necessarily match the reality. Generalizing the well-known Vasicek's model, standing behind the Basel II, we build a model of a credit risk of a loan portfolio. The model, similarly to the Vasicek's model, decomposes the credit risk (expressed as the portfolio probability of default) into two risk factors, one common for all borrowers in the portfolio, and one individual for each single borrower. Our model involves dynamics of the common factor, which influences the...
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