Go to content
UR Home

Systematic Credit Risk in Securitised Mortgage Portfolios

Lee, Yongwoong ; Scheule, Harald ; Rösch, Daniel


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 ...


Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de
0941 943 -4239 or -69394

Dissertations: dissertationen@ur.de
0941 943 -3904

Research data: datahub@ur.de
0941 943 -5707

Contact persons