Jump and Cojump Risk in Subprime Home Equity Derivatives
2008/05/23
研討會日期 : 2008-05-23
時間 : 14:30
主講人 : Bruce Mizrach
地點 : B棟110室
演講者簡介 : Professor Bruce Mizrach 為 Ph.D. in Economics，University of Pennsylvania (1987)。
目前為Associate Professor，Rutgers University，亦為電子電期刊SNDE之創辦人兼主編。
其主要研究領域為Market Microstructure、Financial Crises、Behavioral Finance及Nonlinear Time Series。
演講摘要 : I analyze the risk in the ABX index of asset backed, subprime, home equity credit default swaps and CME housing futures. Using estimators of the jump and cojump components of secruity prices, I determine that: (1) jump risk was rising throughtout 2006, well before any problems in the mortgage market were discussed in the press or policy circles; (2) news explains up to 40% of the jump risk in the AAA rated ABX index and 24% in the BBB-; (3) the jump risk between the ABX and housing futures market is inversely related; (4) the slope of the housing futures term structure is significantly related to the jump risk.
