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Modeling a distribution of mortgage credit losses

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    SYSNO ASEP0347639
    Document TypeC - Proceedings Paper (int. conf.)
    R&D Document TypeConference Paper
    TitleModeling a distribution of mortgage credit losses
    Author(s) Gapko, Petr (UTIA-B)
    Šmíd, Martin (UTIA-B) RID, ORCID
    Source TitleProceedings 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
    Pagess. 150-155
    Number of pages6 s.
    Action28-th International Conference on Mathematical Methods in Economics
    Event date08.09.2010-10.09.2010
    VEvent locationČeské Budějovice
    CountryCZ - Czech Republic
    Event typeEUR
    Languageeng - English
    CountryCZ - Czech Republic
    KeywordsCredit Risk ; Mortgage ; Delinquency Rate ; Generalized Hyperbolic Distribution ; Normal Distribution
    Subject RIVAH - Economics
    R&D ProjectsGD402/09/H045 GA ČR - Czech Science Foundation (CSF)
    GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
    CEZAV0Z10750506 - UTIA-B (2005-2011)
    AnnotationOne 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.
    WorkplaceInstitute of Information Theory and Automation
    ContactMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Year of Publishing2011
Number of the records: 1  

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