Dynamic Model of Losses of a Creditor with a Large Mortgage Portfolio
We propose a dynamic model of mortgage credit losses, which is a generalization of the wellknown Vasicek's model of loss distribution. We assume borrowers hold assets covering the instalments and own real estate which serves as collateral. Both the value of the assets and the price of the est...
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| Format: | Conference or Workshop Item |
| Language: | English |
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Trường Đại học Kinh tế
2020
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| Online Access: | http://repository.vnu.edu.vn/handle/VNU_123/97701 |
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| Institution: | Vietnam National University, Hanoi |
| Language: | English |
| Summary: | We propose a dynamic model of mortgage credit losses, which is a generalization of the wellknown Vasicek's model of loss distribution. We assume borrowers hold assets covering the
instalments and own real estate which serves as collateral. Both the value of the assets and the
price of the estate follow general stochastic processes driven by common and individual factors.
We describe the correspondence between the common factors and the percentage of defaults, and
the loss given default, respectively, and we suggest a procedure of econometric estimation in the
model. On an empirical dataset we show that a more accurate estimation of common factors can
lead to savings in capital needed to hold against a quantile loss |
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