Peter Palmroos

Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA)

Snellmaninkatu 6

P.O. Box 159

FIN-00101 Helsinki

Finland

SCHOLARLY PAPERS

3

DOWNLOADS

150

SSRN CITATIONS

2

CROSSREF CITATIONS

48

Scholarly Papers (3)

1.

Effects of Unobserved Defaults on Correlation between Probability of Default and Loss Given Default on Mortgage Loans

Bank of Finland Research Discussion Paper No. 3/2009
Number of pages: 31 Posted: 03 Jul 2009 Last Revised: 26 Aug 2009
Peter Palmroos
Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA)
Downloads 107 (254,921)
Citation 33

Abstract:

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credit risks, mortgage loans, truncated distributions, sample selection, log-normal distribution

2.

Closed Form Solution of Correlation in Doubly Truncated or Censored Sample of Bivariate Log-Normal Distribution

Bank of Finland Research Discussion Paper No. 17/2013
Number of pages: 13 Posted: 28 Sep 2013
Jouko Vilmunen and Peter Palmroos
Bank of Finland, Research Unit and Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA)
Downloads 43 (416,085)
Citation 17

Abstract:

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bivariate log-normal distribution, Pearson's product-moment correlation, truncated, censored, tail correlation, solvency II

3.

Modeling the Current Loan-to-Value Structure of Mortgage Pools Without Loan-Specific Data

Journal of Credit Risk, Forthcoming
Number of pages: 15 Posted: 29 Sep 2016
Peter Palmroos
Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA)
Downloads 0 (674,029)
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Abstract:

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mortgages, loan-to-value ratios, loss given default, Basel II