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

id	sg-ntu-dr.10356-10510
record_format	dspace
spelling	sg-ntu-dr.10356-105102023-05-19T03:30:06Z Subprime mortgage default rates, spread volatility and contagion to stock markets. Choo, Choi Harn. Goh, Eric Hong Leong. Teh, Gim Aik. Lee, Hon Sing Nanyang Business School DRNTU::Business::Finance 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. 2008-09-24T07:44:25Z 2008-09-24T07:44:25Z 2008 2008 Final Year Project (FYP) http://hdl.handle.net/10356/10510 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance
spellingShingle	DRNTU::Business::Finance Choo, Choi Harn. Goh, Eric Hong Leong. Teh, Gim Aik. Subprime mortgage default rates, spread volatility and contagion to stock markets.
description	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.
author2	Lee, Hon Sing
author_facet	Lee, Hon Sing Choo, Choi Harn. Goh, Eric Hong Leong. Teh, Gim Aik.
format	Final Year Project
author	Choo, Choi Harn. Goh, Eric Hong Leong. Teh, Gim Aik.
author_sort	Choo, Choi Harn.
title	Subprime mortgage default rates, spread volatility and contagion to stock markets.
title_short	Subprime mortgage default rates, spread volatility and contagion to stock markets.
title_full	Subprime mortgage default rates, spread volatility and contagion to stock markets.
title_fullStr	Subprime mortgage default rates, spread volatility and contagion to stock markets.
title_full_unstemmed	Subprime mortgage default rates, spread volatility and contagion to stock markets.
title_sort	subprime mortgage default rates, spread volatility and contagion to stock markets.
publishDate	2008
url	http://hdl.handle.net/10356/10510
_version_	1770564183427907584

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

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