Narrow search
Showing 1 - 10 of 269,540
Cover Image
The ABX : How Do the Markets Price Subprime Mortgage Risk?
Fender, Ingo - 2013
The ABX family of indices has become a key barometer of subprime mortgage market conditions during the recent financial crisis. Simple regression analysis illustrates the relationship between observed index returns and proxies of default risk, interest rates, market liquidity and risk appetite....
Persistent link: https://www.econbiz.de/10013095307
Cover Image
The ABX : How Do the Markets Price Subprime Mortgage Risk?
Fender, Ingo - 2013
The ABX family of indices has become a key barometer of subprime mortgage market conditions during the recent financial crisis. Simple regression analysis illustrates the relationship between observed index returns and proxies of default risk, interest rates, market liquidity and risk appetite....
Persistent link: https://www.econbiz.de/10013095644
Cover Image
Shocks from the sub-prime crisis to bond indices in the U.S., the EU and emerging markets via CDS indices
Fang, Hao; Shen, Chung-hua; Yau, Hwey-Yun; Chung, Chien-Ping - In: Romanian journal of economic forecasting 22 (2019) 3, pp. 5-24
Persistent link: https://www.econbiz.de/10012420426
Cover Image
How smart are investors after the subprime mortgage crisis? : evidence from the securitization market
Gürtler, Marc; Hibbeln, Martin - 2012
Two factors have proven to be strongly relevant for the subprime mortgage crisis. The first is the lack of screening incentives of originators, which had not been anticipated by investors. The second is that investors relied too much on credit ratings. We examine whether investors have learned...
Persistent link: https://www.econbiz.de/10009569587
Cover Image
Subprime mortgage defaults and credit default swaps
Arentsen, Eric; Mauer, David C.; Rosenlund, Brian; … - In: The journal of finance : the journal of the American … 70 (2015) 2, pp. 689-732
Persistent link: https://www.econbiz.de/10010517167
Cover Image
The equity-like behaviour of sovereign bonds
Dufour, Alfonso; Stancu, Andrei; Varotto, Simone - In: Journal of international financial markets, … 48 (2017), pp. 25-46
Persistent link: https://www.econbiz.de/10011892283
Cover Image
ABX.HE indexed credit default swaps and the valuation of subprime MBS
Stanton, Richard; Wallace, Nancy E. - 2009
Persistent link: https://www.econbiz.de/10003860488
Cover Image
How did we get here? : the story of the credit crisis
Sabry, Faten; Okongwu, Chudozie - In: The journal of structured finance 15 (2009) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10003863879
Cover Image
A capability study of portfolio insurance strategies for ABS funds and CDS total return indices during the subprime crisis
Ehlers, Stefan; Gürtler, Marc - In: The journal of fixed income 19 (2009/10) 4, pp. 6-21
Persistent link: https://www.econbiz.de/10003970347
Cover Image
Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity
Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor);  … - 2011
subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest … financial crisis world. Contains information regarding various aspects of the credit derivative market as well as cutting edge … subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest …
Persistent link: https://www.econbiz.de/10008903488