The risk-relevance of securitizations during the recent financial crisis

• Main Authors: DOU, Yiwei, LIU, Yanju, RICHARDSON, Gordon, VYAS, Dushyantkumar
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Financial crisis; Securitizations; Subprime; Mortgages; Off-balance-sheet; Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...