0431755 20240103204628.720141021235959.9 000356417900033 6 s. P cav_un_epca*0432653978-80-244-4209-9185-190OlomoucPalacký University, Olomouc2014 loss given default default rate credit risk cav_un_auth*0071983 50 Dufek J. CZ cav_un_auth*0101206 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Šmíd Martin UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/smid-0431755.pdf We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance. cav_un_auth*0306071 MME 2014. International Conference Mathematical Methods in Economics /32./ 10.09.2014-12.09.2014 Olomouc CZ BB 2015 2 PR RVO:67985556 http://hdl.handle.net/11104/0237644 S 2014 000356417900033 WOS cav_un_epca*0432653 32nd International Conference Mathematical Methods in Economics MME 2014 978-80-244-4209-9 185 190 32nd International Conference Mathematical Methods in Economics MME 2014 Olomouc Palacký University, Olomouc 2014