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Mortgage meltdown : default sensitivity to declining home values and loan-to-value ratios

Schindler, Yannick; Laux, Judith A. - In: The journal of applied business research 28 (2012) 6, pp. 1151-1157

Persistent link: https://www.econbiz.de/10009687931

Measuring systemic risk : a factor-augmented correlated default approach

Suh, Sangwon - In: Journal of financial intermediation 21 (2012) 2, pp. 341-358

Persistent link: https://www.econbiz.de/10009708412

Understanding the market reaction to shockwaves : evidence from the failure of Lehman Brothers

Dumotaux, Nicolas; Pop, Adrian - In: Journal of financial stability 9 (2013) 3, pp. 269-286

Persistent link: https://www.econbiz.de/10010237087

Pricing default events : surprise, exogeneity and contagion

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2013

Persistent link: https://www.econbiz.de/10010200005

Monitoring financial distress in a high-stress financial world : the role of option prices as bank risk metrics

Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - In: Journal of financial services research : JFSR 44 (2013) 3, pp. 229-257

Persistent link: https://www.econbiz.de/10010336307

The effect of large investors on asset quality : evidence from subprime mortgage securities

Adelino, Manuel; Frame, W. Scott; Gerardi, Kristopher - 2014

This paper examines how the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac, the largest investors in subprime private-label mortgage-backed securities (PLS), influenced the risk characteristics and prices of the deals in which they participated. To identify the causal effect...

Persistent link: https://www.econbiz.de/10010337605

The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk

Gilchrist, Simon; Zakrajšek, Egon - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 29-57

Persistent link: https://www.econbiz.de/10010344557

Models for predicting default : towards efficient forecasts

Castagnolo, Fernando; Ferro, Gustavo - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 52-70

Persistent link: https://www.econbiz.de/10010252216

Macroeconomic effects of corporate default crisis: A long-term perspective

Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen M. - In: Journal of financial economics 111 (2014) 2, pp. 297-310

Persistent link: https://www.econbiz.de/10010255519

Collateral pledge, sunk-cost fallacy and mortgage default

Agarwal, Sumit; Green, Richard K.; Rosenblatt, Eric; … - In: Journal of financial intermediation 24 (2015) 4, pp. 636-652

Persistent link: https://www.econbiz.de/10011526286