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...
Saved in:
| 其他作者: | |
|---|---|
| 格式: | Conference or Workshop Item |
| 語言: | English |
| 出版: |
Trường Đại học Kinh tế
2020
|
| 主題: | |
| 在線閱讀: | http://repository.vnu.edu.vn/handle/VNU_123/97701 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|