Accuracy of mortgage portfolio risk forecasts during financial crises
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Publication:320969
DOI10.1016/j.ejor.2015.09.007zbMath1346.91251OpenAlexW1819446087MaRDI QIDQ320969
Yongwoong Lee, Harald Scheule, Daniel Rösch
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.007
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Credit risk (91G40)
Related Items (3)
Rating frailty, Bayesian updates, and portfolio credit risk analysis* ⋮ Predicting loss severities for residential mortgage loans: a three-step selection approach ⋮ A Bayesian approach to modeling mortgage default and prepayment
Uses Software
Cites Work
- Mixture cure models in credit scoring: if and when borrowers default
- Modeling frailty-correlated defaults using many macroeconomic covariates
- Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
- Recent developments in consumer credit risk assessment
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Credit scoring with macroeconomic variables using survival analysis
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