The Resource The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices, by Ingo Fender and Martin Scheicher, (electronic resource)

The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices, by Ingo Fender and Martin Scheicher, (electronic resource)

Label
The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices
Title
The pricing of subprime mortgage risk in good times and bad
Title remainder
evidence from the ABX.HE indices
Statement of responsibility
by Ingo Fender and Martin Scheicher
Creator
Contributor
Author
Subject
Language
eng
Summary
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the relationship between observed index returns and macroeconomic news as well as market-based proxies of default risk, interest rates, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity - likely due in part to significant short positioning activity - have provided a sizeable contribution to the observed collapse in ABX prices since the summer of 2007. In particular, while fundamental factors, such as indicators of housing market activity, have continued to exert an important influence on the subordinated ABX indices, those backed by AA and AAA exposures have tended to react more to the general deterioration of the financial market environment. This provides further support for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and liquidity risk, particularly in periods of heightened market pressure. In addition, as related risk premia can be captured by unconstrained investors, ABX pricing patterns appear to lend support to government measures aimed at taking troubled assets off banks' balance sheets - such as the US Troubled Asset Relief Program (TARP).--
Member of
Assigning source
Provided by Publisher
Cataloging source
FIE
http://library.link/vocab/creatorName
Fender, Ingo
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Scheicher, Martin
  • Bank for International Settlements
Series statement
BIS working papers
Series volume
279
http://library.link/vocab/subjectName
  • Mortgages
  • Economic indicators
Label
The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices, by Ingo Fender and Martin Scheicher, (electronic resource)
Link
http://www.bis.org/publ/work279.htm
Instantiates
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb16086867
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Specific material designation
remote
System control number
(OCoLC)891686914
Label
The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices, by Ingo Fender and Martin Scheicher, (electronic resource)
Link
http://www.bis.org/publ/work279.htm
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb16086867
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Specific material designation
remote
System control number
(OCoLC)891686914

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