Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
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Dungey, Mardi; Dwyer, Gerald P; Flavin, Thomas
Description
The misevaluation of risk in securitized financial products is central to understanding the Financial Crisis of 2007-2008. This paper characterizes the evolution of factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime-mortgage backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of a common factor on more senior...[Show more]
Collections | ANU Research Publications |
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Date published: | 2013 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/70495 |
Source: | Open Economies Review |
DOI: | 10.1007/s11079-012-9254-4 |
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File | Description | Size | Format | Image |
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01_Dungey_Systematic_and_Liquidity_Risk_2013.pdf | 2.21 MB | Adobe PDF | Request a copy |
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