Multi-Period Structural Model of a Mortgage Portfolio with Cointegrated Factors

0467176 - ÚTIA 2017 RIV CZ eng J - Článek v odborném periodiku
Gapko, Petr - Šmíd, Martin
Multi-Period Structural Model of a Mortgage Portfolio with Cointegrated Factors.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 66, č. 6 (2016), s. 565-574. ISSN 0015-1920. E-ISSN 0015-1920
Grant CEP: GA ČR GA15-10331S
Institucionální podpora: RVO:67985556
Klíčová slova: credit risk * mortgage * loan portfolio * dynamic model * estimation
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.604, rok: 2016
http://library.utia.cas.cz/separaty/2016/E/smid-0467176.pdf

We propose a new dynamic two-factor model of a loan portfolio. Following the common
approach, we quantify the credit risk associated with the portfolio by the probability
of default and the loss given default, each of which is driven by a factor common for all
debts in the portfolio, and a factor individual to each debt. In line with the empirical
evidence, the individual factors are assumed to be AR(1) processes. The common factors,
on the other hand, may be dependent on the external (macroeconomic) environment.
We apply our model to the US nationwide mortgage portfolio, fitting the dynamics
of the factors with a VECM model with several macroeconomic indicators as exogenous
variables.
Trvalý link: http://hdl.handle.net/11104/0265789