ARENTSEN, ERIC; MAUER, DAVID C.; ROSENLUND, BRIAN; … - In: Journal of Finance 70 (2015) 2, pp. 689-731
type="main" <title type="main">ABSTRACT</title> <p>We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS...</p>