The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Year of publication: |
2009
|
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Authors: | Fender, Ingo ; Scheicher, Martin |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Asset-Backed Securities | Subprime-Krise | Risikoprämie | Prognoseverfahren | Indexberechnung | USA | ABX index | mortgage-backed securities | pricing | risk premia |
Series: | ECB Working Paper ; 1056 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 606765638 [GVK] hdl:10419/153490 [Handle] RePEc:ecb:ecbwps:20091056 [RePEc] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
-
The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices
Fender, Ingo, (2009)
-
The ABX : How Do the Markets Price Subprime Mortgage Risk?
Fender, Ingo, (2013)
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The ABX : How Do the Markets Price Subprime Mortgage Risk?
Fender, Ingo, (2013)
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo, (2009)
-
The ABX : how do the markets price subprime mortgage risk?
Fender, Ingo, (2008)
-
The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices
Fender, Ingo, (2009)
- More ...