Subprime mortgage default rates, spread volatility and contagion to stock markets.
This thesis studies (i) the impact of the subprime mortgage crisis on the mortgage-backed CDS market and equity markets using the ABX.HE indices and the S&P 500 and DJIA Index, (ii) the underlying parameters such as implied spreads, default probabilities and long-term implications of the subprim...
Main Authors: | Choo, Choi Harn., Goh, Eric Hong Leong., Teh, Gim Aik. |
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Other Authors: | Lee, Hon Sing |
Format: | Final Year Project (FYP) |
Published: |
2008
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Subjects: | |
Online Access: | http://hdl.handle.net/10356/10510 |
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