0467176 20240103213139.720161213235959.9 85007433712 000390952900004 10 s. P cav_un_epca*02554460015-1920666 (2016)565-574Univerzita Karlova v Praze credit risk mortgage loan portfolio dynamic model estimation cav_un_auth*0264433 Gapko Petr Ekonometrie Department of Econometrics E E UTIA-B CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. 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/2016/E/smid-0467176.pdf cav_un_auth*0321097 GA15-10331S GA ČR We propose a new dynamic two-factor model of a loan portfolio. Following the common approach, we quantify the credit risk associated with the portfolio by the probability of default and the loss given default, each of which is driven by a factor common for all debts in the portfolio, and a factor individual to each debt. In line with the empirical evidence, the individual factors are assumed to be AR(1) processes. The common factors, on the other hand, may be dependent on the external (macroeconomic) environment. We apply our model to the US nationwide mortgage portfolio, fitting the dynamics of the factors with a VECM model with several macroeconomic indicators as exogenous variables. AH 2017 2 RVO:67985556 http://hdl.handle.net/11104/0265789 S 3+4 Article Business Finance BUSINESS.FINANCE 0.754 0 5.4 0.00024 0.133 160 0.275 Q3 0.375 24 Q4 4.556 23.4 Q4 Q3 23.438 2016 85007433712 SCOPUS PUBMED 000390952900004 WOS cav_un_epca*0255446 Finance a úvěr-Czech Journal of Economics and Finance 0015-1920 0015-1920 Roč. 66 č. 6 2016 565 574 Univerzita Karlova v Praze