The U.S. Subprime Crisis and the CDO Troubles

Liu, Yuan (2007) The U.S. Subprime Crisis and the CDO Troubles. [Dissertation (University of Nottingham only)] (Unpublished)

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The prolonged weakening in the U.S. subprime mortgage market has grown to become a global event in 2007. The growing default rates have let down a number of weighty players, ranging from HSBC to Bear Sterns hedge funds and then to the most recent Northern Rock - the U.K.'s fifth largest mortgage lender. As the stock market is becoming increasingly volatile, questions begin to accumulate. Essentially, these questions break down into: how and why did a massive number of defaults emerge? how are the difficulties in the subprime market passed on to the financial markets, in particular the CDO market? and, where are all these heading for?

This dissertation looks into the current U.S. subprime turmoil with an approach that combines a review of the existing theoretical arguments in the related areas with the current market data. In particular, the paper explores the likely impact of the elevated subprime defaults on CDOs by the means of a case study on certain ABS sectors. As the findings shed a light on today's crisis, implications are also drawn on the outlook of the broader capital markets as well as the U.S. economy.

The author agues that the causes of wide-spreading U.S. subprime turmoil fundamentally lie in the issues around the subprime mortgage market and the securitization market. As a result, there is a strong need to draw policy implications to practitioners in the industry.

Item Type: Dissertation (University of Nottingham only)
Keywords: Subprime Mortgages, Subprime Crisis, RMBS, CDOs
Depositing User: EP, Services
Date Deposited: 07 Mar 2008
Last Modified: 27 Dec 2017 16:40

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