Počet záznamů: 1  

Modeling a Distribution of Mortgage Credit Losses

  1. 1.
    0385822 - ÚTIA 2013 RIV SK eng J - Článek v odborném periodiku
    Gapko, Petr - Šmíd, Martin
    Modeling a Distribution of Mortgage Credit Losses.
    Ekonomický časopis. Roč. 60, č. 10 (2012), s. 1005-1023. ISSN 0013-3035. E-ISSN 0013-3035
    Grant CEP: GA ČR GD402/09/H045; GA ČR(CZ) GBP402/12/G097
    Grant ostatní: Univerzita Karlova(CZ) 46108
    Výzkumný záměr: CEZ:AV0Z10750506
    Institucionální podpora: RVO:67985556
    Klíčová slova: credit risk * mortgage * delinquency rate * generalized hyperbolic distribution * normal distribution
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 0.194, rok: 2012
    http://library.utia.cas.cz/separaty/2013/E/smid-modeling a distribution of mortgage credit losses.pdf

    In our paper, we focus on the credit risk quantification methodology. We demonstrate that the current regulatory standards for credit risk management are at least not perfect. Generalizing the well-known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the com- mon 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 delinquency rates. We give statistical evidence that the non-normal model is much more suitable than the one which assumes the normal distribution of risk factors. We point out in what way the assumption that risk factors follow a normal distribution can be dangerous. Especially during volatile periods compa- rable to the current crisis, the normal-distribution-based methodology can under- estimate the impact of changes in tail losses caused by underlying risk factors.
    Trvalý link: http://hdl.handle.net/11104/0216180

     
     
Počet záznamů: 1  

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