Roesch, Daniel and Scheule, Harald (2014) FORECASTING MORTGAGE SECURITIZATION RISK UNDER SYSTEMATIC RISK AND PARAMETER UNCERTAINTY. JOURNAL OF RISK AND INSURANCE, 81 (3). pp. 563-586. ISSN 0022-4367, 1539-6975
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The global financial crisis exposed financial institutions to severe unexpected losses in relation to mortgage securitizations and derivatives. This article finds that risk models such as ratings are exposed to a large degree of systematic risk and parameter uncertainty. An out-of-sample forecasting exercise of the financial crisis shows that a simple approach addressing both issues is able to produce ranges for risk measures consistent with realized losses. This explains how financial markets were taken by surprise in relation to realized losses.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CREDIT RISK; RECOVERY RATES; TERM STRUCTURE; DEFAULT PROBABILITIES; EMPIRICAL-EVIDENCE; CORPORATE-DEBT; BANKRUPTCY; INSURANCE; RATINGS; MODEL; |
| 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: | 29 Aug 2019 11:51 |
| Last Modified: | 29 Aug 2019 11:51 |
| URI: | https://pred.uni-regensburg.de/id/eprint/9689 |
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