J. Dufek, M. Šmíd
In [1] a factor model for LGD (loss given default) and PD (probability of default) of mortgage portfolio based on KVM approach is proposed. The authors further fit an evolution of factors by a VECM model; however, they take the parameters of a portfolio as fixed instead of estimation. The present paper proposes a technique of a joint estimation of VECM and portfolio parameters in particular MLE function is defined; asymptotic properties are discussed. The present paper proposes a technique for joint estimation of the VECM and the portfolio parameters. In particular, MLE function is defined and its asymptotic properties are discussed. Finally, our technique is applied to US market data.
[1] Gapko, P. and Šmíd, M.: Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors. Czech Journal of Economics and Finance, 62(2): 125–140, 2012.
Keywords: Estimation, risk management, non-linear econometrics, mortgage portfolio, MLE
Scheduled
TD1 Finance
May 31, 2016 3:00 PM
Salón de actos
