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Bibliography
Conference Paper (Czech conference)
Model of Risk and Losses of a Multigeneration Mortgage Portfolio
: 10th International Scientific Conference Financial management of firms and financial institutions Ostrava, p. 1274-1278 , Eds: Šmíd Martin
: International Scientific Conference Financial management of firms and financial institutions Ostrava /10./, (Ostrava, CZ, 07.09.2015-08.09.2015)
: GA13-25911S, GA ČR, EE2.3.20.0296, GA MŠk
: risk management, loan portfolio, default rate, charge off rate
: http://library.utia.cas.cz/separaty/2015/E/smid-0452187.pdf
(eng): During the last decades, Merton-Vasicek factor model (1987), later generalize by Frye at al. (2000), became standards in credit risk management. We present a generalization of these models allowing multiple sub-portfolios of loans possibly starting at different times and lasting more than one period. We show that, given this model, a one-to-one mapping between factors and the overall default rate and the charge-off rate exists, is differentiable and numerically computable.
: BB