The authors would like to make the following corrections about the published paper [1]. The changes are as follows:
- (1)
- Additional Affiliation:
In the published publication [1], there was an error regarding the affiliation for Michael C. S. Wong. In addition to affiliation 1, the updated affiliation should include: Department of Economics and Finance, City University of Hong Kong, Kowloon Tong, Hong Kong, China.
Ho Ming Ho is belongs to affiliation 2: College of Business, City University of Hong Kong, Kowloon Tong, Hong Kong, China.
- (2)
- Replacing the fourth sentence in the abstract:
“Using simulation techniques, this paper shows that the loss of the bank’s residential mortgage portfolio can reach a median of around 36% of the portfolio value.”
with
“Using simulation techniques, this paper shows that the loss of the bank’s residential mortgage portfolio can reach a portfolio loss of 24.1% at the 99th percentile and of 39.04% at the 99.9th percentile.”
- (3)
- Replacing line 4 on page 3:
“The results show that the bank can suffer a loss with a median of around 36% of the portfolio value and with an upper quartile of around 47% of the portfolio value.”
with
“The results show that the bank can suffer a portfolio loss of 24.1% at the 99th percentile and of 39.04% at the 99.9th percentile.”
- (4)
- Replacing the first sentence of the last paragraph on page 10:
“Table 4 shows a median portfolio loss percentage of 36.77%, which is close to the total stressed loss percentage of 35.58% in Table 2.”
with
“Table 4 shows a portfolio loss of 24.1% at the 99th percentile and of 39.04% at the 99.9th percentile, which are close to the total stressed loss of 35.58% in Table 2.”
- (5)
- Replacing line 2 on page 11:
“The portfolio loss % values in Table 4, from Top 1% to Median, are all higher than the total stressed loss of 35.58% in Table 2.”
with
“The portfolio loss % values in Table 4, from the top 10% to the top 0.1%, range between 9.82% and 39.04%.”
- (6)
- Replacing line 7 on page 12:
“Under default correlation, the portfolio loss can reach a median of 36% and an upper quartile of 47%.”
with
“Under default correlation, the portfolio loss can reach 24.1% at the 99th percentile and 39.04% at the 99.9th percentile.”
- (7)
- The authors would like to change the table content, replacing the original Table 4, as follows:
Table 4. Simulated outcomes of the residential mortgage portfolio.Table 4. Simulated outcomes of the residential mortgage portfolio.Portfolio Loss (USD 000) Portfolio Loss% Top 1% 3248.5 63.61% Top 5% 2969.2 58.14% Top 10% 2764.1 54.12% Top 25% 2358.1 46.17% Median 1878.0 36.77% Bottom 25% 1358.5 26.60% Bottom 10% 959.3 18.78% Bottom 5% 774.5 15.17% Bottom 1% 574.4 11.25%
with
Table 4.
Simulated outcomes of the residential mortgage portfolio.
Table 4.
Simulated outcomes of the residential mortgage portfolio.
| Percentile | Portfolio Loss (USD 000) | Portfolio Loss% |
|---|---|---|
| Top 0.1% (99.9%) | 1993.9 | 39.04% |
| Top 1% (99%) | 1230.6 | 24.10% |
| Top 5% (95%) | 705.6 | 13.82% |
| Top 10% (90%) | 501.3 | 9.82% |
| Top 25% (75%) | 240.3 | 4.71% |
| Median (50%) | 0 | 0.00% |
- (8)
- Other questions
The authors apologize for any inconvenience caused and state that the scientific conclusions are unaffected. This correction was approved by the Academic Editor. The original publication has also been updated.
Reference
- Wong, M.C.S.; Ho, H.M. A Framework for Integrating Extreme Weather Risk, Probability of Default, and Loss Given Default for Residential Mortgage Loans. Sustainability 2023, 15, 11808. [Google Scholar] [CrossRef]
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