| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0431755 |
| utime |
20240103204628.7 |
| mtime |
20141021235959.9 |
| WOS |
000356417900033 |
| title
(primary) (eng) |
Multifactor dynamic credit risk model |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0432653 |
| ISBN |
978-80-244-4209-9 |
| title
|
32nd International Conference Mathematical Methods in Economics MME 2014 |
| page_num |
185-190 |
| publisher |
| place |
Olomouc |
| name |
Palacký University, Olomouc |
| year |
2014 |
|
|
| keyword |
loss given default |
| keyword |
default rate |
| keyword |
credit risk |
| author
(primary) |
| ARLID |
cav_un_auth*0071983 |
| share |
50 |
| name1 |
Dufek |
| name2 |
J. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0101206 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| abstract
(eng) |
We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance. |
| action |
| ARLID |
cav_un_auth*0306071 |
| name |
MME 2014. International Conference Mathematical Methods in Economics /32./ |
| dates |
10.09.2014-12.09.2014 |
| place |
Olomouc |
| country |
CZ |
|
| RIV |
BB |
| reportyear |
2015 |
| num_of_auth |
2 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0237644 |
| confidential |
S |
| arlyear |
2014 |
| mrcbU34 |
000356417900033 WOS |
| mrcbU63 |
cav_un_epca*0432653 32nd International Conference Mathematical Methods in Economics MME 2014 978-80-244-4209-9 185 190 32nd International Conference Mathematical Methods in Economics MME 2014 Olomouc Palacký University, Olomouc 2014 |
|