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Accuracy of Mortgage Portfolio Risk Forecasts during Financial Crises

Lee, Yongwoong ; Rösch, Daniel ; Scheule, Harald


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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