The risk-relevance of securitizations during the recent financial crisis

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
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Financial crisis Securitizations Subprime Mortgages Off-balance-sheet Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	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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