Forecasting mortgage securitization risk under systematic risk and parameter uncertainty

Rösch, D; Scheule, H

Forecasting mortgage securitization risk under systematic risk and parameter uncertainty

Rösch, D Scheule, H

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Publication Type:: Journal Article
Citation:: Journal of Risk and Insurance, 2014, 81 (3), pp. 563 - 586
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Rösch, D	en_US
dc.contributor.author	Scheule, H https://orcid.org/0000-0001-7283-5654	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Journal of Risk and Insurance, 2014, 81 (3), pp. 563 - 586	en_US
dc.identifier.issn	0022-4367	en_US
dc.identifier.uri	http://hdl.handle.net/10453/123047
dc.description.abstract	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. © The Journal of Risk and Insurance, 2013.	en_US
dc.relation.ispartof	Journal of Risk and Insurance	en_US
dc.relation.isbasedon	10.1111/j.1539-6975.2013.12009.x	en_US
dc.subject.classification	Finance	en_US
dc.title	Forecasting mortgage securitization risk under systematic risk and parameter uncertainty	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	81	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	81	en_US

Abstract:

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. © The Journal of Risk and Insurance, 2013.

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http://hdl.handle.net/10453/123047