Determinants of Asset-Backed Security Prices in Crisis Periods

Perraudin, William; Wu, Shi

doi:10.2139/ssrn.1340008

Cited by 6 publications

(3 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…129 See Senior Supervisors Group (2008). Perraudin and Wu (2008) show that the pricing of ABS of various degrees of seniority broke down during the turmoil. As a result, no one really knows the true value of these instruments.…”

Section: Main Features Of Fair Value Accountingmentioning

confidence: 97%

Financial Sector Pro-Cyclicality: Lessons from the Crisis

Panetta

Angelini

Albertazzi³

et al. 2009

SSRN Journal

View full text Add to dashboard Cite

We analyze the main forces affecting financial system pro-cyclicality (the fact that developments in the financial sector can amplify business cycle fluctuations). We first review some major structural developments in financial markets that may influence pro-cyclicality and that have been overlooked in earlier analyses. We then examine three issues that are center stage in the current debate: capital regulation, accounting standards and managers' incentives. After reviewing the institutional set-up and the key mechanisms at work, we critically examine a series of proposals designed to mitigate pro-cyclicality.1 All authors are with the Banca d'Italia.

show abstract

Section: Main Features Of Fair Value Accountingmentioning

confidence: 97%

Financial Sector Pro-Cyclicality: Lessons from the Crisis

Panetta

Angelini

Albertazzi³

et al. 2009

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Mizrach (2008) analyses the jump risk in ABX prices and its determinants, and Bank of England ( 2008) compare actuarial and market-implied measures of subprime losses. While not focusing on the ABX directly, Perraudin and Wu (2008) examine the determinants of prices for asset-backed securities in two distinct crisis periods.…”

Section: Introductionmentioning

confidence: 99%

The Pricing of Subprime Mortgage Risk in Good Times and Bad: Evidence from the ABX.HE Indices

Fender

Scheicher

2009

SSRN Journal

View full text Add to dashboard Cite

“…Mizrach (2008) analyses the jump risk in ABX prices and its determinants, and Bank of England (2008) compare actuarial and market-implied measures of subprime losses. While not focusing on the ABX directly, Perraudin and Wu (2008) examine the determinants of prices for asset-backed securities in two distinct crisis periods.…”

mentioning

confidence: 99%