Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1411
Título: Systematic and liquidity risk in sub-prime mortgage-backed assets
Autor: Dungey, Mardi
Dwyer, Gerald P.
Flavin, Thomas
Palavras-chave: Credit crisis
Asset backed securities
Factor models
Kalman filter
Data: Jul-2011
Resumo: The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1411
Aparece nas colecções:ISCAL - Comunicações

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