0452187 20240103211408.120160316235959.9 000376799500156 5 s. P cav_un_epca*04521862336-162X1274-1278OstravaVŠB TU Ostrava2015ŠmídMartin risk management loan portfolio default rate charge off rate cav_un_auth*0101206 Šmíd Martin Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics K 100 Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2015/E/smid-0452187.pdf GA13-25911S GA ČR CZ cav_un_auth*0292622 EE2.3.20.0296 GA MŠk CZ cav_un_auth*0308374 During the last decades, Merton-Vasicek factor model (1987), later generalize by Frye at al. (2000), became standards in credit risk management. We present a generalization of these models allowing multiple sub-portfolios of loans possibly starting at different times and lasting more than one period. We show that, given this model, a one-to-one mapping between factors and the overall default rate and the charge-off rate exists, is differentiable and numerically computable. cav_un_auth*0323879 International Scientific Conference Financial management of firms and financial institutions Ostrava /10./ Ostrava 07.09.2015-08.09.2015 CZ 2016 BB 1 PR http://hdl.handle.net/11104/0253702 S 2015 000376799500156 WOS cav_un_epca*0452186 10th International Scientific Conference Financial management of firms and financial institutions Ostrava 2336-162X 1274 1278 Ostrava VŠB TU Ostrava 2015 Šmíd Martin 340