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Accuracy of Mortgage Portfolio Risk Forecasts during Financial Crises

Rösch, Daniel, Scheule, Harald and Lee, Yongwoong (2016) Accuracy of Mortgage Portfolio Risk Forecasts during Financial Crises. European Journal of Operational Research 249, pp. 440-456.

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Abstract

This paper explores whether factor based credit portfolio risk models are able to predict losses in severe economic downturns such as the recent Global Financial Crisis (GFC) within standard confidence levels. The paper analyzes (i) the accuracy of default rate forecasts, and (ii) whether forecast downturn percentiles (Value-at-Risk, VaR) are sufficient to cover default rate outcomes over a ...

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Item type:Article
Date:2016
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1016/j.ejor.2015.09.007DOI
Keywords:Bayesian estimation; Maximum likelihood estimation; Model risk; Mortgage; Value-at-risk
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:35393
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