Flavin, Thomas
(2009)
Vintage and Credit Rating: What matters in the
ABX data during the credit crunch?
Proceedings of the Federal Reserve Bank of San francisco, 1.
pp. 1-35.
Abstract
The mortgage backed securities market has dramatically declined during
the credit crunch of 2007-2008. To understand the factors driving its
demise we utilise a latent factor model representing common effects, asset
rating effects, vintage of issuance effects and liquidity effects - extending
the recent representation of CDO pricing in Longstaff and Rajan (2008).
Common and liquidity effects are shown to have an increasing influence
on the performance of the ABX-HE indices, with the role of vintage factors
changing dramatically over the sample period of January 2006 to
May 2008. Consistent with other evidence, risk from systemic factors has
transferred risk to more highly rated tranches of these structured finance
products.
| Item Type: |
Article
|
| Keywords: |
Vintage; Credit Rating;
ABX; data; credit crunch; |
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
8454 |
| Depositing User: |
Thomas Flavin
|
| Date Deposited: |
12 Jul 2017 16:06 |
| Journal or Publication Title: |
Proceedings of the Federal Reserve Bank of San francisco |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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