| bibtype |
J -
Journal Article
|
| ARLID |
0385822 |
| utime |
20240103201808.2 |
| mtime |
20130111235959.9 |
| WOS |
000287979900026 |
| title
(primary) (eng) |
Modeling a Distribution of Mortgage Credit Losses |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0250419 |
| ISSN |
0013-3035 |
| title
|
Ekonomický časopis |
| volume_id |
60 |
| volume |
10 (2012) |
| page_num |
1005-1023 |
| publisher |
| name |
Ekonomický ústav SAV |
|
|
| 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 |
| country |
CZ |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0281000 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In our paper, we focus on the credit risk quantification methodology. We demonstrate that the current regulatory standards for credit risk management are at least not perfect. Generalizing the well-known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the com- mon 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 delinquency rates. We give statistical evidence that the non-normal model is much more suitable than the one which assumes the normal distribution of risk factors. We point out in what way the assumption that risk factors follow a normal distribution can be dangerous. Especially during volatile periods compa- rable to the current crisis, the normal-distribution-based methodology can under- estimate the impact of changes in tail losses caused by underlying risk factors. |
| reportyear |
2013 |
| RIV |
AH |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0216180 |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
0.04 |
| mrcbT16-q |
7 |
| mrcbT16-s |
0.231 |
| mrcbT16-y |
26.6 |
| mrcbT16-x |
0.15 |
| mrcbT16-4 |
Q3 |
| mrcbT16-B |
2.405 |
| mrcbT16-C |
8.559 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2012 |
| mrcbU34 |
000287979900026 WOS |
| mrcbU63 |
cav_un_epca*0250419 Ekonomický časopis 0013-3035 0013-3035 Roč. 60 č. 10 2012 1005 1023 Ekonomický ústav SAV |
|