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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Bibliographic Details
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
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Institution: Nanyang Technological University
Description
Summary: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 subprime mortgage crisis.

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