Collateralised debt obligations
Institutional investment in Australia is both highly innovative and complex. The regulatory focus – and associated literature – on institutional investment has been on the sell-side. Considerably less attention has been paid to the buy-side, that is to the institutional investors themselves. This research report...
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.