| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0452187 |
| utime |
20240103211408.1 |
| mtime |
20160316235959.9 |
| WOS |
000376799500156 |
| title
(primary) (eng) |
Model of Risk and Losses of a Multigeneration Mortgage Portfolio |
| specification |
| page_count |
5 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0452186 |
| ISSN |
2336-162X |
| title
|
10th International Scientific Conference Financial management of firms and financial institutions Ostrava |
| page_num |
1274-1278 |
| publisher |
| place |
Ostrava |
| name |
VŠB TU Ostrava |
| year |
2015 |
|
| editor |
|
|
| keyword |
risk management |
| keyword |
loan portfolio |
| keyword |
default rate |
| keyword |
charge off rate |
| 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 |
| garant |
K |
| share |
100 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA13-25911S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0292622 |
|
| project |
| project_id |
EE2.3.20.0296 |
| agency |
GA MŠk |
| country |
CZ |
| ARLID |
cav_un_auth*0308374 |
|
| abstract
(eng) |
During the last decades, Merton-Vasicek factor model (1987), later generalize by Frye at al. (2000), became standards in credit risk management. We present a generalization of these models allowing multiple sub-portfolios of loans possibly starting at different times and lasting more than one period. We show that, given this model, a one-to-one mapping between factors and the overall default rate and the charge-off rate exists, is differentiable and numerically computable. |
| action |
| ARLID |
cav_un_auth*0323879 |
| name |
International Scientific Conference Financial management of firms and financial institutions Ostrava /10./ |
| place |
Ostrava |
| dates |
07.09.2015-08.09.2015 |
| country |
CZ |
|
| reportyear |
2016 |
| RIV |
BB |
| num_of_auth |
1 |
| presentation_type |
PR |
| permalink |
http://hdl.handle.net/11104/0253702 |
| confidential |
S |
| arlyear |
2015 |
| mrcbU34 |
000376799500156 WOS |
| mrcbU63 |
cav_un_epca*0452186 10th International Scientific Conference Financial management of firms and financial institutions Ostrava 2336-162X 1274 1278 Ostrava VŠB TU Ostrava 2015 |
| mrcbU67 |
Šmíd Martin 340 |
|