Subprime Mortgage Defaults and Credit Default Swaps
Download or Read eBook Subprime Mortgage Defaults and Credit Default Swaps PDF written by Eric Arentsen and published by . This book was released on 2014 with total page 53 pages. Available in PDF, EPUB and Kindle.
Author | : Eric Arentsen |
Publisher | : |
Total Pages | : 53 |
Release | : 2014 |
ISBN-10 | : OCLC:1308957146 |
ISBN-13 | : |
Rating | : 4/5 (46 Downloads) |
Book Synopsis Subprime Mortgage Defaults and Credit Default Swaps by : Eric Arentsen
Book excerpt: We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage and within these pools the loans originated after or shortly before the start of CDS coverage have an even higher delinquency rate. The results are robust across different zip code and origination quarter cohorts. Overall, we show that CDS coverage helped drive higher mortgage defaults during the financial crisis.