| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0347639 |
| utime |
20240103193913.2 |
| mtime |
20101103235959.9 |
| title
(primary) (eng) |
Modeling a distribution of mortgage credit losses |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0346970 |
| ISBN |
978-80-7394-218-2 |
| title
|
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 |
| page_num |
150-155 |
| publisher |
| place |
České Budějovice |
| name |
University of South Bohemia |
| year |
2010 |
|
| editor |
|
| editor |
| name1 |
Friebelová |
| name2 |
J. |
|
|
| keyword |
Credit Risk |
| keyword |
Mortgage |
| keyword |
Delinquency Rate |
| keyword |
Generalized Hyperbolic Distribution |
| keyword |
Normal Distribution |
| author
(primary) |
| ARLID |
cav_un_auth*0264433 |
| name1 |
Gapko |
| name2 |
Petr |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
46108 |
| agency |
Univerzita Karlova - GAUK |
| country |
CZ |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers’ assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage deliquency rates. |
| action |
| ARLID |
cav_un_auth*0264432 |
| name |
28-th International Conference on Mathematical Methods in Economics |
| place |
České Budějovice |
| dates |
08.09.2010-10.09.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0188376 |
| arlyear |
2010 |
| mrcbU63 |
cav_un_epca*0346970 Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 978-80-7394-218-2 150 155 České Budějovice University of South Bohemia 2010 |
| mrcbU67 |
Houda M. 340 |
| mrcbU67 |
Friebelová J. 340 |
|