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Archimedean copula in the computation of value-at-risk : an application to Singapore stock market.
Published 2010“…The data will then undergo backtesting in extreme market conditions developed due to the subprime mortgage crisis in the U.S during FY 2008-2009. The findings show that Archimedean Copula gives a better estimate of VaR in terms of percentage change of portfolio return and the estimated distribution of returns for the portfolio in the extreme market condition.…”
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Final Year Project (FYP) -
42
Dynamic strategy performance in Asian markets
Published 2011“…This study finds that while a dynamically balanced, insured portfolio will not outperform a static mix portfolio over the long run, it is superior to the constant mix portfolio and can provide downside protection in abnormal market conditions like the US subprime mortgage crisis in 2008. Also, increasing bond holdings enhances portfolio performance for all strategies. …”
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Final Year Project (FYP) -
43
An economic model of shadow banking : double tranches and heterogeneous risk tolerance
Published 2016“…However, repercussions of the subprime mortgage crisis have prompted regulators to contemplate broader perspectives on securitization to mitigate risk and ensure systemic stability. …”
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Final Year Project (FYP) -
44
Critical transitions in housing markets
Published 2018“…We have seen catastrophic damages caused by previous housing market crashes such as the Japanese Asset Price Bubble of the 1990s and the United States Subprime Mortgage Crisis, which led to Japan's Lost Decade and Global Financial Crisis respectively. …”
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Final Year Project (FYP) -
45
ANALISIS MONDAY EFFECT, WEEK�FOUR EFFECT, DAN ROGALSKI EFFECT DI BURSA EFEK INDONESIA PADA PERIODE BEARISH DAN BULLISH
Published 2013“…This research investigates the existence of Monday effect, week-four effect, and Rogalski effect in Indonesian Stock Market when Indonesia was on the long bearish and bullish period because of Subprime Mortgage Crisis on 2008. This research uses the return of 21 companies that consistently listed on LQ 45 as the sample. …”
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46
Seeding Trust, Sustaining Equity: Funding and Financing Relationships in the Greater Boston Community Land Trust Network
Published 2024“…Interest in community land trusts (CLTs) as one tool for stable, affordable housing and local autonomy over urban planning processes is growing rapidly—particularly in the past decade, in the wake of the subprime mortgage crisis and the destruction of wealth and housing security that foreclosure waves wreaked across the United States. …”
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Thesis -
47
Penilaian Harga Saham BBCA (Studi pada Saat Buyback Tahun 2008)
Published 2013“…In 2008, there was subprime mortgage crisis in United States of America which caused global economic crisis. …”
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48
Causes and Results of the Greek Debt Crisis: An Analysis with Artificial Neural Networks
Published 2016-12-01“…Starting in the United States in July 2007 as a subprime mortgage crisis, the financial crisis has become global in 2009 after spreading to Eurozone member countries, particularly Greece. …”
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Analisis Pengaruh Faktor Mikro dan Makro terhadap Penyaluran Kredit pada Bank Swasta Umum Devisa Nasional Periode 2006-2011
Published 2013“…It is known that the global financial crisis that hit Indonesia's banking sector and world financial crisis triggered by the emergence of the subprime mortgage crisis in the United States began in 2007. …”
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50
ANALISIS PENGARUH HARGA CRUDE PALM OIL DAN NILAI TUKAR USD/IDR TERHADAP RETURN SAHAM PT BAKRIE SUMATERA PLANTATIONS, TBK
Published 2012“…Period A is the period before the subprime mortgage crisis (2006-2007)and Period B is the periode which the crisis begin (2008-2009). …”
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51
Analisis Struktur Modal PT. Bakrie & Brother, Tbk Periode 2005 - 2008
Published 2012“…In 2008, global market has subprime mortgage crisis issue. It made obstacle for the firmâ��s project. …”
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52
EVALUASI PENERAPAN GOOD CORPORATE GOVERNANCE Studi Kasus di PT Pembakitan Jawa-Bali
Published 2012“…The financial crisis in East and Southeast Asia in 1997 that hit Thailand, South Korea, Malaysia, the Philippines and Indonesia, the destruction of two major companies, namely Enron and WorldCom, as well as the explosion of the subprime mortgage crisis in the United States remind us of the importance of implementing Corporate Good Governance (GCG). …”
Thesis -
53
Indonesian stock market’s dynamic integration with Asian stock markets and world stock markets
Published 2018“…This study found that after subprime mortgage crisis in 2008, the Indonesian stock market was more integrated with several stock markets in Asia and especially in the stock markets in the ASEAN region. …”
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REVISITING ANALYSIS OF THE ROOT CAUSES ON FINANCIAL CRISIS IN ISLAMIC PERSPECTIVE
Published 2018-08-01“…Macroprudential policy which became the term savior after the subprime mortgage crisis was essentially a temporary not eliminate the root causes of the problems of the financial crisis. …”
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55
The Contagion of Global Financial Crisis on Exchange Rate Volatility in Iran: Copula-GARCH Approach
Published 2022-12-01“…This study reviews the contagion effects of financial crises in selected crisis-stricken countries and those of oil and gold markets on Iran's free foreign exchange market, covering four crises including the US stock market crash, the Mexican financial crisis, SAARC, and the US subprime mortgage crisis during 1987-2008. For each crisis, stability periods were identified and using daily data and the Copula-GARCH model, the existence of contagion effects was studied. …”
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Moroccan Stock Exchange market topology in crisis and non-crisis periods
Published 2022-12-01“…The study applies the Agglomerative Hierarchical Clustering (AHC) implemented on the Dynamic Time Warping (DTW) distance matrix over ten sub-periods covering numerous crises, from Subprime mortgage crisis to European debt crisis and finally COVID-19 crisis. …”
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57
The Safe Assets Shortage Conundrum
Published 2018“…The distinction, however, has become increasingly important over time, particularly in the aftermath of the subprime mortgage crisis and its sequels. We begin by describing the main facts and macroeconomic implications of safe asset shortages. …”
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Singapore government-linked Companies vs. non-government-linked companies : is there a performance differential?
Published 2022“…Sub-sample Difference-in-Difference (DID) regressions were also utilized to explore performance differentials during two crisis periods: the 2008 subprime mortgage crisis, and the 2020 Covid pandemic. Our results find no statistically significant difference in performances between GLCs and non-GLCs in Singapore, contrary to much of the literature in other parts of the world. …”
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Final Year Project (FYP) -
59
A stochastic partial differential equation approach to mortgage backed securities
Published 2012“…This enabled financial firms to transform risky individual mortgages into liquid and tradable market instruments. The subprime mortgage crisis of 2007 shows the need for a better understanding and development of mathematical models for these securities. …”
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60
A Review of the Main Issues on the Loan Contracts: Asymmetric Information, Poor Transparency, and Hidden Costs
Published 2019-09-01“…The well-known subprime mortgage crisis, which began to manifest in early 2007, since when the effects of the speculative bubble begin to become evident from the increase in default rates in residential mortgages, has triggered a global crisis that has pushed various legislations over time to implement a series of financial reforms with the specific objective of avoiding that similar phenomena could be repeated over time. …”
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