Systematic credit risk in securitised mortgage portfolios
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DOI: 10.1016/j.jbankfin.2020.105996
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Cited by:
- Cho, Yongbok & Lee, Yongwoong, 2022. "Asymmetric asset correlation in credit portfolios," Finance Research Letters, Elsevier, vol. 49(C).
- Thi Mai Luong & Harald Scheule & Nitya Wanzare, 2023. "Impact of mortgage soft information in loan pricing on default prediction using machine learning," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 158-186, March.
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More about this item
Keywords
Asset correlation; Diversification; Mortgage portfolio; Probability of default; Rating classes; Securitisation; State space model; Systematic risk;All these keywords.
JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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