0351753 20240103194343.920110104235959.9 10 s. cav_un_epca*0353213978-80-248-2351-51-10OstavaVysoká škola báňská - Technická univerzita Ostrava2010 credit risk mortgage loan portfolio dynamic model estimation 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. cav_un_auth*0264433 Gapko Petr Ekonometrie Department of Econometrics E E UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/smid-dynamic model of losses of creditor with a large mortgage portfolio.pdf GA402/09/0965 GA ČR cav_un_auth*0253176 GD402/09/H045 GA ČR cav_un_auth*0253998 CEZ:AV0Z10750506 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. cav_un_auth*0266933 47th EWGFM meeting Praha 28.10.2010-30.10.2010 CZ 2011 AH http://hdl.handle.net/11104/0191435 2010 cav_un_epca*0353213 Proceedings of the 47th European Working Group on Financial Modelling 978-80-248-2351-5 1 10 Ostava Vysoká škola báňská - Technická univerzita Ostrava 2010