Multi-Period Structural Model of a Mortgage Portfolio with Cointegrated Factors

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00467176" target="_blank" >RIV/67985556:_____/16:00467176 - 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
Multi-Period Structural Model of a Mortgage Portfolio with Cointegrated Factors
Original language description
We propose a new dynamic two-factor model of a loan portfolio. Following the commonnapproach, we quantify the credit risk associated with the portfolio by the probabilitynof default and the loss given default, each of which is driven by a factor common for allndebts in the portfolio, and a factor individual to each debt. In line with the empiricalnevidence, 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 dynamicsnof the factors with a VECM model with several macroeconomic indicators as exogenousnvariables.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA15-10331S" target="_blank" >GA15-10331S: Dynamic modeling of mortgage porkredtfolio risk</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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