The ABX: How Do the Markets Price Subprime Mortgage Risk?

15 Pages Posted: 20 Jul 2012

See all articles by Ingo Fender

Ingo Fender

Bank for International Settlements (BIS)

Martin Scheicher

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: September 15, 2009

Abstract

The ABX family of indices has become a key barometer of subprime mortgage market conditions during the recent financial crisis. Simple regression analysis illustrates the relationship between observed index returns and proxies of default risk, interest rates, market liquidity and risk appetite. The results suggest that declining risk appetite and heightened concerns about market illiquidity have provided a sizeable contribution to the observed collapse in ABX prices since the summer of 2007.

Keywords: ABX, credit risk, subprime mortgages, pricing

JEL Classification: E43, G12, G13, G14

Suggested Citation

Fender, Ingo and Scheicher, Martin, The ABX: How Do the Markets Price Subprime Mortgage Risk? (September 15, 2009). BIS Quarterly Review September 2008, Available at SSRN: https://ssrn.com/abstract=1473648

Ingo Fender (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

HOME PAGE: http://www.bis.org

Martin Scheicher

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 (Phone)
+49 69 1344 7949 (Fax)

HOME PAGE: http://www.ecb.europa.eu

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
310
Abstract Views
1,417
rank
71,848
PlumX Metrics