Number of the records: 1
Model of Risk and Losses of a Multigeneration Mortgage Portfolio
- 1.0452187 - ÚTIA 2016 RIV CZ eng K - Conference Paper (Czech conference)
Šmíd, Martin
Model of Risk and Losses of a Multigeneration Mortgage Portfolio.
10th International Scientific Conference Financial management of firms and financial institutions Ostrava. Ostrava: VŠB TU Ostrava, 2015 - (Šmíd, M.), s. 1274-1278. ISSN 2336-162X.
[International Scientific Conference Financial management of firms and financial institutions Ostrava /10./. Ostrava (CZ), 07.09.2015-08.09.2015]
R&D Projects: GA ČR(CZ) GA13-25911S
Grant - others:GA MŠk(CZ) EE2.3.20.0296
Program: EE - Operační program Vzdělávání pro konkurenceschopnost (2007-2015)
Keywords : risk management * loan portfolio * default rate * charge off rate
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2015/E/smid-0452187.pdf
During the last decades, Merton-Vasicek factor model (1987), later generalize by Frye at al. (2000), became standards in credit risk management. We present a generalization of these models allowing multiple sub-portfolios of loans possibly starting at different times and lasting more than one period. We show that, given this model, a one-to-one mapping between factors and the overall default rate and the charge-off rate exists, is differentiable and numerically computable.
Permanent Link: http://hdl.handle.net/11104/0253702
Number of the records: 1