Subprime Mortgage Credit Derivatives

2008 ◽  
Author(s):  
Laurie S. Goodman ◽  
Shumin Li ◽  
Douglas J. Lucas ◽  
Thomas A. Zimmerman ◽  
Frank J. Fabozzi
Keyword(s):  
Credit Derivatives ◽  
Subprime Mortgage ◽  
Mortgage Credit

scholarly journals Borrower Self-Selection, Underwriting Costs, and Subprime Mortgage Credit Supply

2005 ◽  
Vol 30 (2) ◽  
pp. 197-219 ◽  
Author(s):  
Joseph Nichols ◽  
Anthony Pennington-Cross ◽  
Anthony Yezer
Keyword(s):  
Subprime Mortgage ◽  
Credit Supply ◽  
Self Selection ◽  
Mortgage Credit

Residential Mortgage Credit Derivatives

2011 ◽  
Vol 39 (4) ◽  
pp. 671-700 ◽  
Author(s):  
Jefferson Duarte ◽  
Douglas A. McManus
Keyword(s):  
Credit Derivatives ◽  
Residential Mortgage ◽  
Mortgage Credit

scholarly journals The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis

2010 ◽  
Vol 40 (1) ◽  
pp. 1-33 ◽  
Author(s):  
Catherine Donnelly ◽  
Paul Embrechts
Keyword(s):  
Financial Crisis ◽  
Insurance Industry ◽  
Credit Derivatives ◽  
Gaussian Copula ◽  
Subprime Mortgage ◽  
Finance Industry ◽  
Mortgage Crisis ◽  
The Devil ◽  
Proper Context ◽  
Management Issues

AbstractIn the aftermath of the 2007-2008 financial crisis, there has been criticism of mathematics and the mathematical models used by the finance industry. We answer these criticisms through a discussion of some of the actuarial models used in the pricing of credit derivatives. As an example, we focus in particular on the Gaussian copula model and its drawbacks. To put this discussion into its proper context, we give a synopsis of the financial crisis and a brief introduction to some of the common credit derivatives and highlight the difficulties in valuing some of them.We also take a closer look at the risk management issues in part of the insurance industry that came to light during the financial crisis. As a backdrop to this, we recount the events that took place at American International Group during the financial crisis. Finally, through our paper we hope to bring to the attention of a broad actuarial readership some “lessons (to be) learned” or “events not to be forgotten”.

Sign in / Sign up

Export Citation Format

Share Document