About: Multifactor dynamic credit risk model

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Multifactor dynamic credit risk model Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance. We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance. (en)
Title	Multifactor dynamic credit risk model Multifactor dynamic credit risk model (en)
skos:prefLabel	Multifactor dynamic credit risk model Multifactor dynamic credit risk model (en)
skos:notation	RIV/67985556:_____/14:00431755!RIV15-AV0-67985556
http://linked.open...avai/riv/aktivita	I
http://linked.open...avai/riv/aktivity	I
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Šmíd, Martin
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	30977
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/14:00431755
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	loss given default; default rate; credit risk (en)
http://linked.open.../riv/klicoveSlovo	credit risk loss given default default rate
http://linked.open...ontrolniKodProRIV	[F1672E978C35]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Olomouc
http://linked.open...i/riv/nazevZdroje	32nd International Conference Mathematical Methods in Economics MME 2014
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Šmíd, Martin Dufek, J.
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-09-10 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Palackého v Olomouci
https://schema.org/isbn	978-80-244-4209-9

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 47 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software