Showing 1 - 10 of 22
Both credit default swap (CDS) and options markets often experience abnormal swings prior to the announcement of negative credit news. With the exclusion of negative earnings announcements, we find that options prices reveal information about such forthcoming adverse events at least as early as...
Persistent link: https://www.econbiz.de/10005073589
Persistent link: https://www.econbiz.de/10010969472
We develop an equilibrium model for origination fees charged by mortgage bro- kers and show how the equilibrium fee distribution depends on borrowers' valua- tion for their loans and their information about fees. We use non-crossing quantile regressions and data from a large subprime lender to...
Persistent link: https://www.econbiz.de/10010945081
This paper estimates recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by the Moody’s KMV EDF measure, and market default swap (CDS) rates. The default-swap data, obtained by CIBC from a large number of dealers...
Persistent link: https://www.econbiz.de/10005085455
We develop a method for identifying and quantifying the fiscal channels that help finance government spending shocks. We define fiscal shocks as surprises in defense spending and show that they are more precisely identified when defense stock data are used in addition to aggregate macroeconomic...
Persistent link: https://www.econbiz.de/10009399101
Prior to the subprime crisis, mortgage brokers originated about 65% of all subprime mortgages. Yet little is known about their behavior during the runup to the crisis. Using data from New Century Financial Corporation, we find that brokers earned an average revenue of $5,300 per funded loan. We...
Persistent link: https://www.econbiz.de/10008601693
Prior to the subprime crisis, mortgage brokers charged higher percentage fees for loans that turned out to be riskier ex post, even when conditioning on other risk characteristics. High conditional fees reveal borrower attributes that are associated with high borrower risk, such as suboptimal...
Persistent link: https://www.econbiz.de/10008461869
Nearly half of the variation in European CDS returns is captured by a novel factor that mimics economic catastrophe risk. During the financial crisis of 2007--8, this factor became more important relative to other sources of risk, leading to a shift in the correlation structure of CDS returns....
Persistent link: https://www.econbiz.de/10008469964
On 9-10 September 2004, the BIS held a workshop on
Persistent link: https://www.econbiz.de/10005127689
Bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model. We show that the borrowers whose loans are sold in the secondary market underperform their peers by about 9% per year (risk-adjusted) over the three-year period following the initial sale...
Persistent link: https://www.econbiz.de/10005006156