The Risk-Relevance of Securitized Mortgages during the Recent Financial Crisis
We investigate the risk-relevance of securitized subprime, non-conforming and commercial mortgages for sponsor-originators during the recent financial crisis. Using volatility of realized stock returns and option-implied volatility, we observe a pronounced increase in the risk-relevance for subprime...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soa_research/882 http://www4.gsb.columbia.edu/filemgr?file_id=7219631 |
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| Institution: | Singapore Management University |
| Language: | English |