Dynamic Model of Losses of a Creditor with a Large Mortgage Portfolio

• مؤلفون آخرون: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
• التنسيق: Conference or Workshop Item
• اللغة: English
• منشور في: Trường Đại học Kinh tế 2020
• الموضوعات: Credit risk; Mortgage; Loan portfolio; Dynamic model; Estimation
• الوصول للمادة أونلاين: http://repository.vnu.edu.vn/handle/VNU_123/97701
• المؤسسة: Vietnam National University, Hanoi

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...