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Modeling a distribution of mortgage credit losses
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SYSNO ASEP 0347639 Druh ASEP C - Konferenční příspěvek (mezinárodní konf.) Zařazení RIV D - Článek ve sborníku Název Modeling a distribution of mortgage credit losses Tvůrce(i) Gapko, Petr (UTIA-B)
Šmíd, Martin (UTIA-B) RID, ORCIDZdroj.dok. Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010. - České Budějovice : University of South Bohemia, 2010 / Houda M. ; Friebelová J. - ISBN 978-80-7394-218-2 Rozsah stran s. 150-155 Poč.str. 6 s. Akce 28-th International Conference on Mathematical Methods in Economics Datum konání 08.09.2010-10.09.2010 Místo konání České Budějovice Země CZ - Česká republika Typ akce EUR Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova Credit Risk ; Mortgage ; Delinquency Rate ; Generalized Hyperbolic Distribution ; Normal Distribution Vědní obor RIV AH - Ekonomie CEP GD402/09/H045 GA ČR - Grantová agentura ČR GA402/09/0965 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
Počet záznamů: 1