Financial Stochastic Modeling and the Subprime Crisis
نویسندگان
چکیده
منابع مشابه
The subprime credit crisis and contagion in financial markets
I conduct an empirical investigation into the pricing of subprime asset-backed collateralized debt obligations (CDOs) and their contagion effects on other markets. Using data for the ABX subprime indexes, I find strong evidence of contagion in the financial markets. The results support the hypothesis that financial contagion was propagated primarily through liquidity and risk-premium channels, ...
متن کاملSystemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis
The paper analyses the causes of the current crisis of the global financial system, with particular emphasis on the systemic elements that turned the crisis of subprime mortgage-backed securities in the United States, a small part of the overall system, into a worldwide crisis. The first half of the paper explains the role of mortgage securitization as a mechanism for allocating risks from real...
متن کاملOn Modeling Some Essential Dynamics of the Subprime Mortgage Crisis
We develop a Systems Dynamics model for capturing the key interactions involved in the evolution of the subprime mortgage crisis. In particular, we propose an aggregate modeling resolution that involves three main sub-systems, namely, an aggregate banking system, an aggregate housing market and an economic environment. The model exposes the physics of each individual system as well as influence...
متن کاملDating the Timeline of Financial Bubbles during the Subprime Crisis By
A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origi-nation and collapse. The tests serve as an early warning diagnostic of bubble a...
متن کاملBreeding One’s Own Subprime Crisis The Labour Market Effects on Financial System Stability
Crisis may spread through economy via the propagating mechanisms of the labour market households becoming delinquent due to an initial unemployment shock may be unable to continue servicing obligations versus the financial system. With large debts e.g. mortgages such defaults pose a threat to financial system stability. In this paper we use the Polish household budget surveys to simulate the im...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Economics, Finance and Management Sciences
سال: 2016
ISSN: 2326-9553
DOI: 10.11648/j.ijefm.20160402.15