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http://ssrn.com/abstract=1112467
 
 

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The Subprime Credit Crisis of 07


Stuart M. Turnbull


University of Houston - C.T. Bauer College of Business

Michel Crouhy


Natixis

Robert A. Jarrow


Cornell University - Samuel Curtis Johnson Graduate School of Management

July 9, 2008


Abstract:     
This paper examines the different factors that have contributed to the subprime mortgage credit crisis: the search for yield enhancement, agency problems, lax underwriting standards, failure by the rating agencies to identify a changing environment, poor risk management by financial institutions, lack of transparency, the limitation of extant valuation models and the failure of regulators to understand the implications of the changing environment for the financial system. The paper addresses the different issues and offers suggestions on how to move forward.

Number of Pages in PDF File: 56

Keywords: Subprime mortgages, SIVs, monolines, transparency, valuation

JEL Classification: G22, G30, G32, G38

working papers series





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Date posted: March 25, 2008 ; Last revised: July 20, 2008

Suggested Citation

Turnbull, Stuart M. and Crouhy, Michel and Jarrow, Robert A., The Subprime Credit Crisis of 07 (July 9, 2008). Available at SSRN: http://ssrn.com/abstract=1112467 or http://dx.doi.org/10.2139/ssrn.1112467

Contact Information

Stuart M. Turnbull (Contact Author)
University of Houston - C.T. Bauer College of Business ( email )
Houston, TX 77204-6021
United States
Michel Crouhy
Natixis ( email )
France
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Department of Finance
Ithaca, NY 14853
United States
607-255-4729 (Phone)
607-254-4590 (Fax)
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