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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F14%3A00431755%21RIV15-AV0-67985556
rdf:type
skos:Concept n19:Vysledek
dcterms: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.
dcterms:title
Multifactor dynamic credit risk model Multifactor dynamic credit risk model
skos:prefLabel
Multifactor dynamic credit risk model Multifactor dynamic credit risk model
skos:notation
RIV/67985556:_____/14:00431755!RIV15-AV0-67985556
n3:aktivita
n16:I
n3:aktivity
I
n3:dodaniDat
n4:2015
n3:domaciTvurceVysledku
n14:3993310
n3:druhVysledku
n10:D
n3:duvernostUdaju
n11:S
n3:entitaPredkladatele
n12:predkladatel
n3:idSjednocenehoVysledku
30977
n3:idVysledku
RIV/67985556:_____/14:00431755
n3:jazykVysledku
n13:eng
n3:klicovaSlova
loss given default; default rate; credit risk
n3:klicoveSlovo
n9:loss%20given%20default n9:default%20rate n9:credit%20risk
n3:kontrolniKodProRIV
[F1672E978C35]
n3:mistoKonaniAkce
Olomouc
n3:mistoVydani
Olomouc
n3:nazevZdroje
32nd International Conference Mathematical Methods in Economics MME 2014
n3:obor
n6:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n4:2014
n3:tvurceVysledku
Dufek, J. Šmíd, Martin
n3:typAkce
n18:EUR
n3:zahajeniAkce
2014-09-10+02:00
s:numberOfPages
6
n17:hasPublisher
Univerzita Palackého v Olomouci
n15:isbn
978-80-244-4209-9