| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0351753 |
| utime |
20240103194343.9 |
| mtime |
20110104235959.9 |
| title
(primary) (eng) |
Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0353213 |
| ISBN |
978-80-248-2351-5 |
| title
|
Proceedings of the 47th European Working Group on Financial Modelling |
| page_num |
1-10 |
| publisher |
| place |
Ostava |
| name |
Vysoká škola báňská - Technická univerzita Ostrava |
| year |
2010 |
|
|
| keyword |
credit risk |
| keyword |
mortgage |
| keyword |
loan portfolio |
| keyword |
dynamic model |
| keyword |
estimation |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0264433 |
| name1 |
Gapko |
| name2 |
Petr |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
We propose a dynamic model of mortgage credit losses. We assume borrowers to hold assets covering the instalments and to own a real estate which serves as a collateral; both the value of the assets and the price of the estate follow general stochastic processes driven by common and individual factors. We describe the correspondence between the common factors, the percentage of defaults and the loss given default and we suggest a procedure of econometric estimation of the model. |
| action |
| ARLID |
cav_un_auth*0266933 |
| name |
47th EWGFM meeting |
| place |
Praha |
| dates |
28.10.2010-30.10.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0191435 |
| arlyear |
2010 |
| mrcbU63 |
cav_un_epca*0353213 Proceedings of the 47th European Working Group on Financial Modelling 978-80-248-2351-5 1 10 Ostava Vysoká škola báňská - Technická univerzita Ostrava 2010 |
|