Asset correlation in residential mortgage-backed security reference portfolios

Geidosch, Marco

doi:10.21314/jcr.2014.175

Cited by 5 publications

(1 citation statement)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Due to all Goldman's marketing materials for ABACUS 2007-AC1, the reference portfolio [8] of RMBS underpinning the CDO was selected by ACA Management LLC ("ACA") [9], a third party with 30 dedicated credit and portfolio management professionals with an average of 13 years relevant experience. However, Paulson, who played a key role in the portfolio selection process but with economic interests hostile to investors in the ABACUS 2007-AC1, was not mentioned in the marketing materials at all and was unknown to investors.…”

Section: Weaknessmentioning

confidence: 99%

SWOT Analysis of ABACUS Transaction on Goldman, Sachs & Co.

2023

AEMPS

View full text Add to dashboard Cite

The ABACUS deal involving Goldman Sachs was a significant event with profound consequences for Goldman Sachs and far-reaching implications for the financial industry. This paper will primarily analyze the impact of the ABACUS deal on Goldman Sachs and demonstrate the application of SWOT analysis in case studies. The entire paper will be divided into three sections according to the subheadings, with each section progressively building upon the previous to substantiate the viewpoints mentioned in the following paper. In the introduction section, the paper provides readers with a transaction overview, including the background, key players, and regulatory responses of the ABACUS Scandal, giving them a preliminary understanding of the research subject. Following that, the paper presents the process of demonstrating the internal and external impacts of the ABACUS Scandal on Goldman Sachs using the SWOT analysis, including considering the strengths, weaknesses, opportunities, and threats of the event. Lastly, the paper will summarize the findings regarding the aforementioned issues in the conclusion section, along with reviewing some shortcomings and limitations concerning research approaches, logical coherence, and other aspects. At the end of the paper, you will see both positive and negative effects on Goldman Sachs throughout the ABACUS deal from four aspects: strengths, weaknesses, opportunities, and threats.

show abstract

Section: Weaknessmentioning

confidence: 99%

SWOT Analysis of ABACUS Transaction on Goldman, Sachs & Co.

2023

AEMPS

View full text Add to dashboard Cite

show abstract

Fast approximation methods for credit portfolio risk calculations

Jakob,

Churt,

Fischer

et al. 2023

Digit Finance

View full text Add to dashboard Cite

Credit risk is one of the main risks financial institutions are exposed to. Within the last two decades, simulation-based credit portfolio models became extremely popular and replaced closed-form analytical ones as computers became more powerful. However, especially for non-homogenous and non-granular portfolios, a full simulation of a credit portfolio model is still time consuming, which can be disadvantageous within some use cases like credit pricing or within stress testing situations where results must be available very quickly. For this purpose, we investigate if methods based on artificial intelligence (AI) can be helpful to approximate a credit portfolio model. We compare the performance of AI-based methods within three different use cases with suitable non AI-based regression methods. As a result, we see that AI-based methods can generally capture portfolio characteristics and speed-up calculations but - depending on the specific use case and the availability of training data - they are not necessarily always the best choice. Particularly, considering the time and costs for collecting data and training of the complex algorithms, non-AI-based methods can be as good as or even better than AI-based ones, while requiring less computational effort.

show abstract

Heckroccurve: ROC Curves for Selected Samples

Cook¹,

Rajbhandari²

2018

The Stata Journal

View full text Add to dashboard Cite

Receiver operating characteristic (ROC) curves can be misleading when they are constructed with selected samples. In this article, we describe heckroccurve, which implements a recently developed procedure for plotting ROC curves with selected samples. The command estimates the area under the ROC curve and a graphical display of the curve. A variety of plot options are available, including the ability to add confidence bands to the plot.

show abstract

Asset correlation in residential mortgage-backed security reference portfolios

Cited by 5 publications

References 0 publications

SWOT Analysis of ABACUS Transaction on Goldman, Sachs & Co.

SWOT Analysis of ABACUS Transaction on Goldman, Sachs & Co.

Fast approximation methods for credit portfolio risk calculations

Heckroccurve: ROC Curves for Selected Samples

Contact Info

Product

Resources

About