Accuracy of mortgage portfolio risk forecasts during financial crises
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Recommendations
- Benchmarking forecast approaches for mortgage credit risk for forward periods
- Improving the value at risk forecasts: theory and evidence from the financial crisis
- Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
- Assessment of mortgage default risk via Bayesian state space models
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement
Cites work
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Credit scoring with macroeconomic variables using survival analysis
- Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
- Mixture cure models in credit scoring: if and when borrowers default
- Modeling frailty-correlated defaults using many macroeconomic covariates
- Recent developments in consumer credit risk assessment
Cited in
(8)- Benchmarking forecast approaches for mortgage credit risk for forward periods
- Rating frailty, Bayesian updates, and portfolio credit risk analysis*
- A Bayesian approach to modeling mortgage default and prepayment
- Assessment of mortgage default risk via Bayesian state space models
- Systematic effects among loss given defaults and their implications on downturn estimation
- Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
- Predicting loss severities for residential mortgage loans: a three-step selection approach
- A method of retail mortgage stress testing: based on time-frame and magnitude analysis
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