Institute of Information Theory and Automation

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Dynamic modeling of mortgage portfolio risk

Agency: 
GACR
Identification Code: 
GA15-10331S
Start: 
2015-03-01
End: 
2017-12-31
Project Focus: 
teoretický
Project Type (EU): 
other
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.
Publications ÚTIA: 
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smid: 2015-03-31 09:26