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Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio
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SYSNO ASEP 0351753 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio Author(s) Šmíd, Martin (UTIA-B) RID, ORCID
Gapko, Petr (UTIA-B)Source Title Proceedings of the 47th European Working Group on Financial Modelling. - Ostava : Vysoká škola báňská - Technická univerzita Ostrava, 2010 - ISBN 978-80-248-2351-5 Pages s. 1-10 Number of pages 10 s. Action 47th EWGFM meeting Event date 28.10.2010-30.10.2010 VEvent location Praha Country CZ - Czech Republic Event type EUR Language eng - English Country CZ - Czech Republic Keywords credit risk ; mortgage ; loan portfolio ; dynamic model ; estimation Subject RIV AH - Economics R&D Projects GA402/09/0965 GA ČR - Czech Science Foundation (CSF) GD402/09/H045 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation We propose a dynamic model of mortgage credit losses. We assume borrowers to hold assets covering the instalments and to own a real estate which serves as a collateral; both the value of the assets and the price of the estate follow general stochastic processes driven by common and individual factors. We describe the correspondence between the common factors, the percentage of defaults and the loss given default and we suggest a procedure of econometric estimation of the model. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2011
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