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...
محفوظ في:
| مؤلفون آخرون: | |
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| التنسيق: | Conference or Workshop Item |
| اللغة: | English |
| منشور في: |
Trường Đại học Kinh tế
2020
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://repository.vnu.edu.vn/handle/VNU_123/97701 |
| الوسوم: |
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| المؤسسة: | Vietnam National University, Hanoi |
| اللغة: | English |