Temporal correlation of defaults in subprime securitization

MaRDI QIDQ2787537zbMATH OpenFDO

Authors Eric Hillebrand, Ambar N. Sengupta, Junyue Xu

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70)

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(2)

• Correlated defaults, temporal correlation, expert information and predictability of default rates
• Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

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