This paper explores whether factor based credit portfolio risk models are able to predict losses in severe economic downturns such as the recent Global Financial Crisis (GFC) within standard confidence levels. The paper analyzes (i) the accuracy of default rate forecasts, and (ii) whether...

This study analyses the level of systematic risk for US mortgage portfolio securitisationsbased on the variation of default rates which cannot be explained by observeddeterministic factors. Systematic risk is decomposed into general systemic risk, ratingclass-specific systematic risk and their...