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...

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Dettagli Bibliografici
Autori principali:	Choo, Choi Harn., Goh, Eric Hong Leong., Teh, Gim Aik.
Altri autori:	Lee, Hon Sing
Natura:	Final Year Project (FYP)
Pubblicazione:	2008
Soggetti:	DRNTU::Business::Finance
Accesso online:	http://hdl.handle.net/10356/10510

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