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Systematic and liquidity risk in subprime-mortgage backed securities
Dungey, Mardi H.; Dwyer, Gerald P. <jun.>; Flavin, Thomas J. - In: Open economies review 24 (2013) 1, pp. 5-32
Persistent link: https://www.econbiz.de/10009737967
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Implied correlations of iTraxx tranches during the financial crisis
Heidorn, Thomas; Kahlert, Dennis - 2010
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of...
Persistent link: https://www.econbiz.de/10003981941
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mortgage-backed securities
Deku, Solomon Y.; Kara, Alper; Semeyutin, Artur - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 111-142
Persistent link: https://www.econbiz.de/10012432632
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How is the ECB's quantitative easing transmitted to the financial markets?
Aloui, Donia; Ben Maatoug, Abderrazek - In: Studies in economics and finance 41 (2024) 2, pp. 268-285
Persistent link: https://www.econbiz.de/10015049545
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
a strong short-lived effect on risk spreads in the money and mortgage markets; (ii) monetary policy shocks have …
Persistent link: https://www.econbiz.de/10003972695
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
a strong short-lived effect on risk spreads in the money and mortgage markets; (ii) monetary policy shocks have …
Persistent link: https://www.econbiz.de/10003964379
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Monetary policy, housing booms, and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - In: Macroeconomic dynamics 17 (2013) 4, pp. 830-860
Persistent link: https://www.econbiz.de/10009774981
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Monetary Policy, Housing Booms and Financial (Im) Balances
Eickmeier, Sandra - 2015
a strong short-lived effect on risk spreads in the money and mortgage markets; (ii) monetary policy shocks have …
Persistent link: https://www.econbiz.de/10013038915
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Monetary Policy, Housing Booms and Financial (Im)Balances
Eickmeier, Sandra - 2016
a strong short-lived effect on risk spreads in the money and mortgage markets; (ii) monetary policy shocks have …
Persistent link: https://www.econbiz.de/10012991093
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Commercial mortgage default and refinancing risk : a primer
Corcoran, Patrick J. - In: The journal of portfolio management : a publication of … 36 (2009/10) 5, pp. 70-79
Persistent link: https://www.econbiz.de/10008654018