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.
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...