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

• Main Authors: Choo, Choi Harn., Goh, Eric Hong Leong., Teh, Gim Aik.
• Other Authors: Lee, Hon Sing
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance
• Online Access: http://hdl.handle.net/10356/10510
• Institution: Nanyang Technological University

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...