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首页> 外文期刊>Journal of Real Estate Portfolio Management >Fat Tails, Skewed Losses, and Potential Risk Mitigation: Evidence from the Residential Mortgage Market
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Fat Tails, Skewed Losses, and Potential Risk Mitigation: Evidence from the Residential Mortgage Market

机译：胖尾巴，偏斜的损失和潜在的风险缓解：来自住宅抵押市场的证据

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摘要

Evidence from the recent financial crisis brings into question the stability of risk management correlation assumptions and the effect this has on possible extreme outcomes. In this paper, we present evidence of unstable correlations between mortgage asset returns in recent years inhibiting any practical mean variance approach to portfolio diversification and risk management. Our findings suggest that returns on residential mortgage investments exhibit unusual levels of skewness and asymmetric dependence (higher correlations in downside markets). Incorporating higher-order return distribution moments in portfolio selection and diversification decisions is important to all investors concerned with fat tail risks. Optimizing portfolios from the standpoint of loss mitigation seems easy to achieve with careful geographic diversification, but deep recession loss correlations defy the longer term trends. For this reason, higher capital reserves or new hedging instruments are required to truly mitigate downside risk.
机译：最近的金融危机的证据使人们对风险管理相关假设的稳定性及其对可能的极端后果的影响提出了质疑。在本文中，我们提供了近年来抵押资产收益之间不稳定相关性的证据，从而抑制了投资组合分散和风险管理的任何实际均值方差方法。我们的研究结果表明，住宅抵押投资的回报表现出不同寻常的偏度和不对称依赖性（在下行市场中具有更高的相关性）。对于所有关注巨额尾部风险的投资者而言，将高阶收益分配时刻纳入投资组合选择和多元化决策中至关重要。从减轻损失的角度出发，通过谨慎的地域多元化来优化投资组合似乎很容易实现，但是深层次的经济衰退与损失之间的相关性阻碍了长期趋势。因此，需要更高的资本准备金或新的对冲工具才能真正降低下行风险。

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