Institute of Information Theory and Automation

Dynamic modeling of mortgage portfolio risk

Project leader: RNDr. Martin Šmíd, Ph.D.
Department: E
Supported by (ID): GA15-10331S
Grantor: Czech Science Foundation
Type of project: theoretical
Duration: 2015 - 2017
Publications at UTIA: list

Abstract:

The aim of the project is to create a dynamical structural model of a mortgage portfolio consisting of multiple tranches. A default of a loan will be driven by a sum of three factors: an overall one, a tranche specific one and an individual one. Analogously, a loss (given default) of individual mortgages will be driven by a sum of three factors (possibly standing for a collateral value). The model will allow for endogenous prepayments and will take finite-sample properties of tranches into account. A time and space interdependence of the (common and tranche- specific) factors and their possible dependence on an economic environment will be studied; a natural non-linear dynamics of the factors will be taken into account.

Project team:
Responsible for information: E
Last modification: 31.03.2015
Institute of Information Theory and Automation