Forecasting mortgage securitization risk under systematic risk and parameter uncertainty

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<subfield code="a">Forecasting mortgage securitization risk under systematic risk and parameter uncertainty</subfield>
<subfield code="c">Daniel Rösch, Harald Scheule</subfield>
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<subfield code="a">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.</subfield>
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<subfield code="w">MAP20077000727</subfield>
<subfield code="t">The Journal of risk and insurance</subfield>
<subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
<subfield code="x">0022-4367</subfield>
<subfield code="g">01/09/2014 Volumen 81 Número 3 - septiembre 2014 </subfield>
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