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Modeling the current loan-to-value structure of mortgage pools without loan-specific data

Palmroos, Peter - In: The journal of credit risk : published quarterly by … 12 (2016) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011645432

A zero-adjusted gamma model for mortgage loan loss given default

Tong, Edward N. C.; Mues, Christophe; Thomas, Lyn C. - In: International journal of forecasting 29 (2013) 4, pp. 548-562

Persistent link: https://www.econbiz.de/10010212473

Specialisation in mortgage risk under Basel II

Benetton, Matteo; Eckley, Peter; Garbarino, Nicola; … - 2017

Persistent link: https://www.econbiz.de/10011629829

Modeling a distribution of mortgage credit losses

Gapko, Petr; Šmíd, Martin - 2010

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

Persistent link: https://www.econbiz.de/10010322287