Accuracy of mortgage portfolio risk forecasts during financial crises

DOI10.1016/J.EJOR.2015.09.007zbMATH Open1346.91251OpenAlexW1819446087MaRDI QIDQ320969FDOQ320969

Authors: 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

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

zbMATH Keywords

maximum likelihood estimationBayesian estimationvalue-at-riskmodel riskmortgage

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Recent developments in consumer credit risk assessment
• Mixture cure models in credit scoring: if and when borrowers default
• Credit scoring with macroeconomic variables using survival analysis
• Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Modeling frailty-correlated defaults using many macroeconomic covariates

Cited In (8)

• Systematic effects among loss given defaults and their implications on downturn estimation
• A method of retail mortgage stress testing: based on time-frame and magnitude analysis
• Predicting loss severities for residential mortgage loans: a three-step selection approach
• Assessment of mortgage default risk via Bayesian state space models
• A Bayesian approach to modeling mortgage default and prepayment
• Benchmarking forecast approaches for mortgage credit risk for forward periods
• Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
• Rating frailty, Bayesian updates, and portfolio credit risk analysis*

Uses Software

• Stata
• GLLAMM

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