Subprime Mortgage Defaults and Credit Default Swaps
成果类型：
Article
署名作者：
Arentsen, Eric; Mauer, David C.; Rosenlund, Brian; Zhang, Harold H.; Zhao, Feng
署名单位：
University of Iowa; University of Texas System; University of Texas Dallas
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.12221
发表日期：
2015
页码：
689-731
关键词：
摘要：
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.