Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F10%3A00351753" target="_blank" >RIV/67985556:_____/10:00351753 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio
Original language description
We propose a dynamic model of mortgage credit losses. We assume borrowers to hold assets covering the instalments and to own a real estate which serves as a collateral; both the value of the assets and the price of the estate follow general stochastic processes driven by common and individual factors. We describe the correspondence between the common factors, the percentage of defaults and the loss given default and we suggest a procedure of econometric estimation of the model.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 47th European Working Group on Financial Modelling
ISBN
978-80-248-2351-5
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
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Publisher name
Vysoká škola báňská - Technická univerzita Ostrava
Place of publication
Ostava
Event location
Praha
Event date
Oct 28, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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