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The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10003866554
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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
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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
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The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices
Fender, Ingo - 2013
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10013095930
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - European Central Bank - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of … introduction into ABX index mechanicsand a discussion of historical pricing patterns, we use regression analysis to establish …
Persistent link: https://www.econbiz.de/10005866585
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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …
Persistent link: https://www.econbiz.de/10011604956
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Assessing the Effectiveness of the Paulson 'Teaser Freezer' Plan : Evidence from the ABX Index
Balla, Eliana - 2012
How did investors holding assets backed by subprime residential mortgages react when Treasury Secretary Paulson announced the so-called "teaser freezer" plan to modify mortgages in December 2007? We apply event-study methodology to the ABX index, the only source of daily securities prices in...
Persistent link: https://www.econbiz.de/10013096500
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Pricing subprime mortgage risk in good times and bad : evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
Persistent link: https://www.econbiz.de/10003847620
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Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets
Augustin, Patrick - 2016
We solve a dynamic general equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates,...
Persistent link: https://www.econbiz.de/10013005999
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Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets
Augustin, Patrick - 2020
We solve a dynamic equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates, a...
Persistent link: https://www.econbiz.de/10012855459