Systematic credit risk in securitised mortgage portfolios
Year of publication: |
2021
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Authors: | Lee, Yong Woong ; Rösch, Daniel ; Scheule, Harald |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 122.2021, p. 1-19
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Subject: | Asset correlation | Diversification | Mortgage portfolio | Probability of default | Rating classes | Securitisation | State space model | Systematic risk | Kreditrisiko | Credit risk | Hypothek | Mortgage | Portfolio-Management | Portfolio selection | Verbriefung | Securitization | Theorie | Theory | Schätzung | Estimation | Zustandsraummodell | Asset-Backed Securities | Asset-backed securities | Korrelation | Correlation | Basler Akkord | Basel Accord | Kreditwürdigkeit | Credit rating |
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