0376482 20240103200829.120120511235959.9 000303969200003 16 s. cav_un_epca*02554460015-1920622 (2012)125-140Univerzita Karlova v Praze credit risk probability of default loss given default credit loss credit loss distribution Basel II 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. http://library.utia.cas.cz/separaty/2012/E/smid-dynamic multi-factor credit risk model with fat-tailed factors.pdf GAUK 46108 Univerzita Karlova CZ GD402/09/H045 GA ČR cav_un_auth*0253998 GA402/09/0965 GA ČR cav_un_auth*0253176 CEZ:AV0Z10750506 We introduce an improved multi-factor credit risk model describing simultaneously the default rate and the loss given default. Our methodology is based on the KMV model, which we generalize in three ways. First, we add a model for loss given default (LGD), second, we bring dynamics to the model, and third, we allow non-normal distributions of risk factors. Both the defaults and the LGD are driven by a common factor and an individual factor; the individual factors are mutually independent, but we allow any form of dependence of the common factors. We test our model on a nationwide portfolio of US mortgage delinquencies, modeling the dependence of the common factor by a VECM model, and compare our results with the current regulatory framework, which is described in the Basel II Accord. 2013 AH 2 http://hdl.handle.net/11104/0208867 BUSINESSFINANCE 0.116 8 0.365 36.08 0.34 Q3 13.275 20.787 Q4 Q3 2012 000303969200003 WOS cav_un_epca*0255446 Finance a úvěr-Czech Journal of Economics and Finance 0015-1920 0015-1920 Roč. 62 č. 2 2012 125 140 Univerzita Karlova v Praze