Subprime mortgage default rates, spread volatility and contagion to stock markets.
Choo, Choi Harn.
Goh, Eric Hong Leong.
Teh, Gim Aik.
Date of Issue2008
College of Business (Nanyang Business School)
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.
Final Year Project (FYP)
Nanyang Technological University