Fender, Ingo; Scheicher, Martin - European Central Bank - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of … indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an …
by Ingo Fender
and Martin Scheicher
The pricing of
subprime morTgage
risk in good Times
and bad
evidence …