This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible …

. Consistent with this finding, single stock option implied volatility helps explain the variation in bond yield spreads when …

spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …

has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …

the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … financial crisis between 2007 and 2009. In doing so, it shows how option-implied probability density functions could be used to …