Subprime Mortgage Defaults and Credit Default Swaps
نویسندگان
چکیده
منابع مشابه
The Bear’s Lair: Indexed Credit Default Swaps and the Subprime Mortgage Crisis
ABX.HE indexed credit default swaps on baskets of mortgage-backed securities are now the main benchmark used by financial institutions to mark their subprime mortgage portfolios to market. However, we find that current prices for the ABX.HE indices are inconsistent with any reasonable assumption for mortgage default rates, and that ABX.HE price changes are only very weakly correlated with obser...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2015
ISSN: 0022-1082
DOI: 10.1111/jofi.12221