Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio

0351753 - ÚTIA 2011 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Šmíd, Martin - Gapko, Petr
Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio.
Proceedings of the 47th European Working Group on Financial Modelling. Ostava: Vysoká škola báňská - Technická univerzita Ostrava, 2010, s. 1-10. ISBN 978-80-248-2351-5.
[47th EWGFM meeting. Praha (CZ), 28.10.2010-30.10.2010]
Grant CEP: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: credit risk * mortgage * loan portfolio * dynamic model * estimation
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2010/E/smid-dynamic model of losses of creditor with a large mortgage portfolio.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0191435