During the recent financial crisis, ABX.HE index credit default swaps (CDS) on baskets of mortgage-backed securities … became a benchmark used by financial institutions to mark their subprime mortgage portfolios to market. However, we find that … prices for the AAA ABX.HE index CDS during the crisis were inconsistent with any reasonable assumption for mortgage default …

This book focuses on the basics of MBS (mortgage-backed securities) and ABS (asset-backed securities). Book highlights … “Concepts” includes articles on the role of securitization in mortgage lending, asset backed securities, collateralized debt … on using a credit portfolio model to rate securitizations, the rise of the European CRE CDOs market, mortgage …