Subprime mortgage default rates, spread volatility and contagion to stock markets.

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...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy:	Choo, Choi Harn., Goh, Eric Hong Leong., Teh, Gim Aik.
Kolejni autorzy:	Lee, Hon Sing
Format:	Final Year Project (FYP)
Wydane:	2008
Hasła przedmiotowe:	DRNTU::Business::Finance
Dostęp online:	http://hdl.handle.net/10356/10510

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