Modeling a distribution of mortgage credit losses

0347639 - ÚTIA 2011 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Gapko, Petr - Šmíd, Martin
Modeling a distribution of mortgage credit losses.
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010. České Budějovice: University of South Bohemia, 2010 - (Houda, M.; Friebelová, J.), s. 150-155. ISBN 978-80-7394-218-2.
[28-th International Conference on Mathematical Methods in Economics. České Budějovice (CZ), 08.09.2010-10.09.2010]
Grant CEP: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant ostatní: Univerzita Karlova - GAUK(CZ) 46108
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: Credit Risk * Mortgage * Delinquency Rate * Generalized Hyperbolic Distribution * Normal Distribution
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2010/E/gapko-modeling a distribution of mortgage credit losses.pdf

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common 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 deliquency rates.
Trvalý link: http://hdl.handle.net/11104/0188376