An Analysis on Us Sub-Prime Mortgage Crisis

Engels | Paperback | 9783844311402 | 100 pagina's

This book provides an analysis on the expansion and the burst phases of the 2007 sub-prime mortgage bubble, in two interrelated sections. The first part analyzes the speculative investor behavior of the crisis and exhibits that before the crisis the asset prices such as CMBS and S&P 500 indexes showed statistical features which are not common among financial time series. The results indicate that during bubble periods several of the stylized facts such as volatility clustering and auto-correlation of absolute returns unexpectedly disappeared indicating the investors' irrational exuberance during 2007 sub-prime mortgage crisis. I have suggested that other bubble periods can be detected by similar stylized fact tests. In the second part, I showed that common macroeconomic risk factors can explain, to a very large extent, all types of mortgage's credit risk and I concluded that individual mortgages are possessing significant default correlation, especially sub-prime mortgage classes. Finally this book ends with demonstrating the significance of correlated defaults on default distributions' fat tails which explains the defaults of high tranche MBS products.

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€64.99