Institute of Information Theory and Automation

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Bibliography

Conference Paper (international conference)

Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio

Šmíd Martin, Gapko Petr

: Proceedings of the 47th European Working Group on Financial Modelling, p. 1-10

: 47th EWGFM meeting, (Praha, CZ, 28.10.2010-30.10.2010)

: CEZ:AV0Z10750506

: GA402/09/0965, GA ČR, GD402/09/H045, GA ČR

: credit risk, mortgage, loan portfolio, dynamic model, estimation

: http://library.utia.cas.cz/separaty/2010/E/smid-dynamic model of losses of creditor with a large mortgage portfolio.pdf

(eng): 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.

: AH

2019-01-07 08:39