Subprime Mortgage Defaults and Credit Default Swaps
研究了信用违约互换（CDS）覆盖对次级抵押贷款违约的不利影响，发现CDS覆盖的贷款池违约率更高，且贷款发放时间越接近CDS覆盖开始，违约率越高。
ABSTRACT We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage, and within these pools the loans originated after or shortly before the start of CDS coverage have an even higher delinquency rate. The results are robust across zip code and origination quarter cohorts. Overall, we show that CDS coverage helped drive higher mortgage defaults during the financial crisis.