| bibtype |
J -
Journal Article
|
| ARLID |
0467176 |
| utime |
20240103213139.7 |
| mtime |
20161213235959.9 |
| SCOPUS |
85007433712 |
| WOS |
000390952900004 |
| title
(primary) (eng) |
Multi-Period Structural Model of a Mortgage Portfolio with Cointegrated Factors |
| specification |
| page_count |
10 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0255446 |
| ISSN |
0015-1920 |
| title
|
Finance a úvěr-Czech Journal of Economics and Finance |
| volume_id |
66 |
| volume |
6 (2016) |
| page_num |
565-574 |
| publisher |
| name |
Univerzita Karlova v Praze |
|
|
| keyword |
credit risk |
| keyword |
mortgage |
| keyword |
loan portfolio |
| keyword |
dynamic model |
| keyword |
estimation |
| 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 |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| 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 |
| project |
| ARLID |
cav_un_auth*0321097 |
| project_id |
GA15-10331S |
| agency |
GA ČR |
|
| abstract
(eng) |
We propose a new dynamic two-factor model of a loan portfolio. Following the common\napproach, we quantify the credit risk associated with the portfolio by the probability\nof default and the loss given default, each of which is driven by a factor common for all\ndebts in the portfolio, and a factor individual to each debt. In line with the empirical\nevidence, the individual factors are assumed to be AR(1) processes. The common factors,\non the other hand, may be dependent on the external (macroeconomic) environment.\nWe apply our model to the US nationwide mortgage portfolio, fitting the dynamics\nof the factors with a VECM model with several macroeconomic indicators as exogenous\nvariables. |
| RIV |
AH |
| reportyear |
2017 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0265789 |
| confidential |
S |
| mrcbC86 |
3+4 Article Business Finance |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
0.133 |
| mrcbT16-s |
0.275 |
| mrcbT16-4 |
Q3 |
| mrcbT16-B |
4.556 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2016 |
| mrcbU14 |
85007433712 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000390952900004 WOS |
| mrcbU63 |
cav_un_epca*0255446 Finance a úvěr-Czech Journal of Economics and Finance 0015-1920 0015-1920 Roč. 66 č. 6 2016 565 574 Univerzita Karlova v Praze |
|