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Systematic Credit Risk in Securitised Mortgage Portfolios

Lee, Yongwoong ; Scheule, Harald ; Rösch, Daniel



Abstract

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 struc- ture. General systematic risk sensitivities increase from lower rating classes to ...

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