TY  - Working paper

AU  - Daniel Rosch
AU  - Harald Scheule


PY  - 2014
T1  - Forecasting mortgage securitization risk under systemic risk and parameter uncertainty
PB  - Centre for International Finance and Regulation


DO  - https://doi.org/APO-66290
UR  - https://apo.org.au/node/66290

AB  - The Global Financial Crisis exposed financial institutions to severe unexpected losses in relation to mortgage securitizations and derivatives. This paper finds that risk models such as ratings are exposed to a large degree of systematic risk and parameter uncertainty.
ER  -