Concept

Crise des subprimes

Publications associées (52)

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Market Structure and Transaction Costs of Index CDSs

Pierre Collin Dufresne, Jan Benjamin Junge

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

WILEY2020

Linear Stochastic Dividend Model

Sander Félix M Willems

In this paper, we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate nonnegative. In its simplest form, the model ...

WORLD SCIENTIFIC PUBL CO PTE LTD2020

Understanding Mortgage Spreads

Andreas Fuster

Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners’ funding costs. We study variation in MBS spreads in the time series and across securities and ...

2019

Regional Heterogeneity and the Refinancing Channel of Monetary Policy

Andreas Fuster

We argue that the time-varying regional distribution of housing equity influences the aggregate consequences of monetary policy through its effects on mortgage refinancing. Using detailed loan-level data, we show that regional differences in housing equity ...

2019

The Role of Technology in Mortgage Lending

Andreas Fuster

Technology-based (“FinTech”) lenders increased their market share of U.S. mortgage lending from 2% to 8% from 2010 to 2016. Using loan-level data on mortgage applications and originations, we show that FinTech lenders process mortgage applications 20% fast ...

2019

The Adapted Lifestyle-Integrated Functional Exercise Program for Preventing Functional Decline in Young Seniors: Development and Initial Evaluation

Wei Zhang

Background: The Lifestyle-integrated Functional Exercise (LiFE) program is an intervention integrating balance and strength activities into daily life, effective at reducing falls in at-risk people >= 70 years. There is potential for LiFE to be adapted to ...

KARGER2019

Crisis and Renewal: From the National Commission for IIT to the MTCC by Rem Koolhaas

Tibor Bonaventura Pataky

Since the 1940s, the buildings added to the IIT Campus in Chicago had either been designed by Mies van der Rohe himself or largely informed by his example and teachings. With the Harold Leonard Stuart Building from 1971 by the SOM partner and former Mies s ...

2019

Rebounds of deformed cavitation bubbles

Mohamed Farhat, Danail Obreschkow, Outi Supponen

Presented here are experiments clarifying how the deformation of cavitation bubbles affects their rebound. Rebound bubbles carry the remaining energy of a bubble following its initial collapse, which dissipates energy mainly through shock waves, jets, and ...

AMER PHYSICAL SOC2018

IT Investment and its impacts

Shameem Hasan

This thesis empirically explored the impacts of IT investment on three different scenarios under the common denominator / threads of IT investments. It comprises three different essays on the impacts of IT investments. IT investments and its impact on many ...

EPFL2018

Tracking and Stress-Testing U.S. Household Leverage

Andreas Fuster

Housing equity is an important component of borrowers’ wealth and a critical determinant of their vulnerability to shocks. In this article, the authors use a unique, newly created data set to analyze the evolution of household leverage—defined here as the ...

2018