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Applied Financial Economics Volume 19, 2009 - Issue 24
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Original Articles

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Ingo Fender Bank for International Settlements (BIS), Monetary and Economic Department, Centralbahnplatz 2, 4002 Basel, SwitzerlandCorrespondence[email protected]
&
Martin Scheicher European Central Bank (ECB), Directorate General Research, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany
Pages 1925-1945 | Published online: 13 Nov 2009

Citations (19)

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Christian Pierdzioch, Jan-Christoph Rülke & Georg Stadtmann. (2013) Forecasting US housing starts under asymmetric loss. Applied Financial Economics 23:6, pages 505-513.
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Dimitrios Gounopoulos, Andreas G. Merikas, Anna A. Merika & Anna Triantafyllou. (2012) Explaining house price changes in Greece. Applied Financial Economics 22:7, pages 549-561.
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Articles from other publishers (17)

Alex Dontoh, Fayez A. Elayan, Joshua Ronen & Tavy Ronen. (2021) Unfair “Fair Value” in Illiquid Markets: Information Spillover Effects in Times of Crisis. Management Science 67:8, pages 5163-5193.
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Silvio Contessi, Pierangelo De Pace & Massimo Guidolin. (2020) Mildly explosive dynamics in U.S. fixed income markets. European Journal of Operational Research 287:2, pages 712-724.
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John Roberts & Timothy Wang. (2019) Faithful representation as an ‘objective mirage’: A Saussurean analysis of accounting and its participation in the financial crisis. Critical Perspectives on Accounting 65, pages 102078.
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Lisa Sheenan. 2018. Eurasian Business Perspectives. Eurasian Business Perspectives 63 87 .
Mubanga Mpundu. (2017) Analysis of bank failure: An application of CVAR methodology on liquidity. Risk Governance and Control: Financial Markets and Institutions 7:2, pages 18-27.
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Jim Rooney & Suresh Cuganesan. (2015) Leadership, governance and the mitigation of risk: a case study. Managerial Auditing Journal 30:2, pages 132-159.
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W.S. Leung, N. Taylor & K.P. Evans. (2015) The determinants of bank risks: Evidence from the recent financial crisis. Journal of International Financial Markets, Institutions and Money 34, pages 277-293.
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Mardi Dungey, Gerald P. Dwyer & Thomas Flavin. (2012) Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities. Open Economies Review 24:1, pages 5-32.
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Ingo Fender, Bernd Hayo & Matthias Neuenkirch. (2012) Daily pricing of emerging market sovereign CDS before and during the global financial crisis. Journal of Banking & Finance 36:10, pages 2786-2794.
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Gary Gorton & Andrew Metrick. (2012) Securitized banking and the run on repo. Journal of Financial Economics 104:3, pages 425-451.
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Andrey D. Pavlov, Eduardo S. Schwartz & Susan M. Wachter. (2017) Price Discovery in the Credit Markets. SSRN Electronic Journal.
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Silvio Contessi & Pierangelo De Pace. (2017) Mildly Explosive Dynamics in U.S. Fixed Income Markets. SSRN Electronic Journal.
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Miriam Marra. (2013) The Impact of Liquidity on Senior Credit Spreads During the Subprime Crisis. SSRN Electronic Journal.
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Eliana Balla, Robert E. Carpenter & Breck L. Robinson. (2010) Assessing the Effectiveness of the Paulson 'Teaser Freezer' Plan: Evidence from the ABX Index. SSRN Electronic Journal.
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Ingo Fender, Bernd Hayo & Matthias Neuenkirch. (2012) Daily CDS Pricing in Emerging Markets Before and During the Global Financial Crisis. SSRN Electronic Journal.
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Ingo Fender & Janet Mitchell. (2009) Incentives and Tranche Retention in Securitisation: A Screening Model. SSRN Electronic Journal.
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Juha Kilponen & Juuso Vanhala. (2009) Productivity and Job Flows: Heterogeneity of New Hires and Continuing Jobs in the Business Cycle. SSRN Electronic Journal.
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