Lee, Yongwoong and Roesch, Daniel and Scheule, Harald (2021) Systematic credit risk in securitised mortgage portfolios. JOURNAL OF BANKING & FINANCE, 122: 105996. ISSN 0378-4266, 1872-6372
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This study analyses the level of systematic risk for US mortgage portfolio securitisations based on the variation of default rates which cannot be explained by observed deterministic factors. Systematic risk is decomposed into general systemic risk, rating-class-specific systematic risk and their covariance structure. General systematic risk sensitivities increase from lower rating classes to medium rating classes and decreases to higher rating classes. Rating-class-specific systematic risk shows an opposite pattern. The methodology provides for more accurate probability of default and Value-at-Risk forecasts. (C) 2020 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | DEFAULT PROBABILITIES; NEGATIVE EQUITY; FRAILTY; MODELS; Asset correlation; Diversification; Mortgage portfolio; Probability of default; Rating classes; Securitisation; State space model; Systematic risk |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 14 Sep 2022 12:11 |
| Last Modified: | 14 Sep 2022 12:11 |
| URI: | https://pred.uni-regensburg.de/id/eprint/47474 |
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