{"product_id":"an-analysis-on-us-sub-prime-mortgage-crisis-von-gorkem-yazicioglu","title":"An Analysis on US Sub-Prime Mortgage Crisis","description":"\u003cp\u003eThis book provides an analysis on the expansion and  the burst phases of the 2007 sub-prime mortgage  bubble, in two interrelated sections. The first part  analyzes the speculative investor behavior of the  crisis and exhibits that before the crisis the asset  prices such as CMBS and S\u0026amp;P 500 indexes showed  statistical features which are not common among  financial time series. The results indicate that  during bubble periods several of the stylized facts  such as volatility clustering and auto-correlation of  absolute returns unexpectedly disappeared indicating  the investors'' irrational exuberance during 2007  sub-prime mortgage crisis. I have suggested that  other bubble periods can be detected by similar  stylized fact tests. In the second part, I showed  that common macroeconomic risk factors can explain,  to a very large extent, all types of mortgage''s  credit risk and I concluded that individual mortgages  are possessing significant default correlation,  especially sub-prime mortgage classes. Finally this  book ends with demonstrating the significance of  correlated defaults on default distributions'' fat  tails which explains the defaults of high tranche MBS  products.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783844311402\"\u003e\u003ch3\u003eThe Mechanics of the Bubble Growth and Burst\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783844311402","offer_id":39495937097821,"sku":"9783844311402","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/016dc4ac-d4e9-4d92-8339-70e53205965c.jpg?v=1776142287","url":"https:\/\/shop.autorenwelt.de\/products\/an-analysis-on-us-sub-prime-mortgage-crisis-von-gorkem-yazicioglu","provider":"Autorenwelt Shop","version":"1.0","type":"link"}