The risk-relevance of securitizations during the recent financial crisis
We investigate changes in the risk-relevance of securitized subprime, other nonconforming, and commercial mortgages for sponsor-originators during the recent financial crisis. Using the volatility of realized stock returns, option-implied volatility, and credit spreads, we observe a pronounced incre...
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Main Authors: | DOU, Yiwei, LIU, Yanju, RICHARDSON, Gordon, VYAS, Dushyantkumar |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2014
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Online Access: | https://ink.library.smu.edu.sg/soa_research/1571 https://ink.library.smu.edu.sg/context/soa_research/article/2598/viewcontent/f4a6b88636e259273633de8d7355d49a4245.pdf |
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Institution: | Singapore Management University |
Language: | English |
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