Multifactor dynamic credit risk model

0431755 - ÚTIA 2015 RIV CZ eng K - Konferenční příspěvek (tuzemská konf.)
Dufek, J. - Šmíd, Martin
Multifactor dynamic credit risk model.
32nd International Conference Mathematical Methods in Economics MME 2014. Olomouc: Palacký University, Olomouc, 2014, s. 185-190. ISBN 978-80-244-4209-9.
[MME 2014. International Conference Mathematical Methods in Economics /32./. Olomouc (CZ), 10.09.2014-12.09.2014]
Institucionální podpora: RVO:67985556
Klíčová slova: loss given default * default rate * credit risk
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2014/E/smid-0431755.pdf

We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance.
Trvalý link: http://hdl.handle.net/11104/0237644