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首页> 外文期刊>The journal of risk and insurance >Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty
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Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty

机译：系统风险和参数不确定性下的抵押证券化风险预测

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摘要

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.
机译：全球金融危机使金融机构遭受与抵押证券化和衍生品有关的严重意外损失。本文发现，诸如评级之类的风险模型会遭受很大程度的系统风险和参数不确定性。对金融危机的样本外预测表明，解决这两个问题的简单方法能够得出与已实现损失一致的风险度量范围。这解释了金融市场是如何对已实现的损失感到惊讶的。

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  • 来源
    《The journal of risk and insurance》 |2014年第3期|563-586|共24页
  • 作者

    Daniel Roesch; Harald Scheule;

  • 作者单位

    Department of Statistics, University of Regensburg, 93040 Regensburg, Germany;

    Finance Discipline Group, UTS Business School, University of Technology, Sydney, PO Box 123, Broadway NSW 2007, Australia;

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  • 正文语种 eng
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