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• 33 min
  1. Risk management: some lessons from the credit crisis

  • Mr. Edward Fishwick
• Archived Lectures *These may not cover the latest advances in the field
• 22 min
  2. The need for a new paradigm

  • Mr. Alan Brown
• 41 min
  3. Leading bank credit portfolio strategies

  • Mr. Brian Dvorak
• 26 min
  4. Personal asset/liability management: using the discretionary wealth hypothesis within an equilibrium term structure

  • Mr. Dan diBartolomeo
• 18 min
  5. Quantmare, August 2007

  • Mr. Eoin Murray
• 36 min
  6. Risk decomposition (and risk budgeting)

  • Mr. Jason MacQueen
• 43 min
  7. Structural and reduced form models

  • Dr. Theo Darsinos
• 43 min
  8. Validation techniques I: regulatory and statistical background

  • Dr. Dirk Tasche
• 40 min
  9. Validation techniques II: discriminatory power and calibration

  • Dr. Dirk Tasche
• 52 min
  10. Estimating risk models

  • Prof. Kevin Dowd
• 24 min
  11. Hedge fund risk assessment

  • Mr. David Martin
• 45 min
  12. Modeling business dependencies for credit portfolios

  • Dr. Markus A. Leippold
• 26 min
  13. VaR when volatility is changing

  • Dr. Elizabeth Sheedy
• 30 min
  14. Conditional Value at Risk (CoVAR)

  • Mr. KiHoon Jimmy Hong
• 40 min
  15. Dependence modeling with copulas

  • Prof. Paul Embrechts
  • Dr. Johanna Neslehova
• 41 min
  16. Extreme value theory and copulas

  • Prof. Paul Embrechts
  • Dr. Johanna Neslehova
• 42 min
  17. Measures of financial risk

  • Prof. Kevin Dowd
• 37 min
  18. Modelling UK Mortgage Default in Light of the Financial Crisis

  • Mr. Warapong Wongwachara
• 23 min
  19. Statistical models for risk management

  • Prof. John Knight
• 34 min
  20. The structure of equity risk models

  • Mr. Jason MacQueen
• 42 min
  21. Utility theory and mean variance

  • Dr. Norvald Instefjord
• 40 min
  22. Definitions of risk

  • Dr. Norvald Instefjord
• 29 min
  23. Practical use of portfolio risk management today

  • Mr. Daryl Roxburgh
• 44 min
  24. Volatility

  • Dr. George A. Christodoulakis

Printable Handouts

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Navigable Slide Index

1. Introduction
2. The financial crisis
3. Evolution in the UK housing market
4. Modelling in light of the financial crisis
5. Outline
6. Mortgage defaults: some definitions
7. Reminiscent of the early 1990s
8. "Riskier" mortgages
9. Further differences
10. Drivers of mortgage default
11. Econometric models of mortgage default
12. VAR model of default variables
13. Data for default variables
14. VAR estimation
15. Estimated coefficients of VAR
16. VARX, incorporating default drivers
17. Data for exogenous variables
18. Estimated Coefficients of VARX
19. TVAR, a nonlinear relationship
20. TVAR estimation
21. Example: unemployment as regime indicator
22. Forecast competition
23. Forecast evaluation
24. Discussion of results
25. Conclusions
26. Thank you
27. Selected references

Topics Covered

• Review of the recent financial crisis
• Evolution in the UK housing market
• Modelling strategies
• Drivers of mortgage default
• Econometric models of mortgage default
• Vector Autoregression (VAR) of default variables
• VAR with macroeconomic default drivers
• Threshold VAR: A non-linear relationship
• Forecast competition
• Conclusion: key features for successful modelling of mortgage default

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on July 19, 2010
• Updated on November 29, 2010
• Archived on April 4, 2022