0349551 20240111140746.820101116235959.9 23 s. 2323 (2010)1-23 Credit Risk Mortgage Delinquency Rate Generalized Hyperbolic Distribution Normal Distribution cav_un_auth*0264433 Gapko Petr Ekonometrie Department of Econometrics E E UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101206 Šmíd Martin Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. PDF http://library.utia.cas.cz/separaty/2010/E/gapko-modeling a distribution of mortgage credit losses-ies wp.pdf 46108 Univerzita Karlova - GAUK CZ GA402/09/0965 GA ČR cav_un_auth*0253176 GD402/09/H045 GA ČR cav_un_auth*0253998 CEZ:AV0Z10750506 One 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. 2011 AH http://hdl.handle.net/11104/0189756 2010 PDF IES Working Papers Roč. 23 č. 23 2010 1 23