Modeling a distribution of mortgage credit losses

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Modeling a distribution of mortgage credit losses

Popis výsledku v původním jazyce

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a ?credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focuson the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers? assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage deliquency rates.

Název v anglickém jazyce

Modeling a distribution of mortgage credit losses

Popis výsledku anglicky

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a ?credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focuson the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers? assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage deliquency rates.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010

ISBN

978-80-7394-218-2

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

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Název nakladatele

University of South Bohemia

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

8. 9. 2010

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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