Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/10510
Title: Subprime mortgage default rates, spread volatility and contagion to stock markets.
Authors: Choo, Choi Harn.
Goh, Eric Hong Leong.
Teh, Gim Aik.
Keywords: DRNTU::Business::Finance
Issue Date: 2008
Abstract: This thesis studies (i) the impact of the subprime mortgage crisis on the mortgage-backed CDS market and equity markets using the ABX.HE indices and the S&P 500 and DJIA Index, (ii) the underlying parameters such as implied spreads, default probabilities and long-term implications of the subprime mortgage crisis.
URI: http://hdl.handle.net/10356/10510
Schools: Nanyang Business School 
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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