Jumps and Cojumps in Subprime Home Equity Derivatives
研究了次贷房屋净值信用违约互换指数和芝加哥商品交易所房屋期货的跳跃频率，发现跳跃在2007年前已出现，房屋期货跳跃更明显，近85%的跳跃可由新闻和房屋期货解释。
Mizrach analyzes the jump frequency in the MarketABX.HE Index of subprime home equity credit default swaps and CME housing futures. Jumps began to appear prior to 2007. The jumps are more pronounced in housing futures than in the ABX index. He explains nearly 85% of the jumps from news and housing futures.A 20-point slope in the housing futures curve leads to an expected jump of -1.4% in the BBB– ABX index. <bold>TOPICS:</bold> <ext-link>MBS and residential mortgage loans</ext-link>, <ext-link>asset-backed securities (ABS)</ext-link>, <ext-link>financial crises and financial market history</ext-link>