Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F12%3A10124395" target="_blank" >RIV/00216208:11230/12:10124395 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/12:00376482

Result on the web

<a href="http://journal.fsv.cuni.cz/storage/1243_gapko.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1243_gapko.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors

Original language description

We introduce an improved multi-factor credit risk model describing simultaneously the default rate and the loss given default. Our methodology is based on the KMV model, which we generalize in three ways. First, we add a model for loss given default (LGD), second, we bring dynamics to the model, and third, we allow non-normal distributions of risk factors. Both the defaults and the LGD are driven by a common factor and an individual factor; the individual factors are mutually independent, but we allow any form of dependence of the common factors. We test our model on a nationwide portfolio of US mortgage delinquencies, modeling the dependence of the common factor by a VECM model, and compare our results with the current regulatory framework, which is described in the Basel II Accord.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Finance a Uver

ISSN

0015-1920

e-ISSN

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Volume of the periodical

62

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

16

Pages from-to

125-140

UT code for WoS article

000303969200003

EID of the result in the Scopus database

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