TY - JOUR T1 - Jumps and Cojumps in Subprime Home Equity Derivatives JF - The Journal of Portfolio Management SP - 136 LP - 146 DO - 10.3905/jpm.2012.38.2.136 VL - 38 IS - 2 AU - Bruce Mizrach Y1 - 2012/01/31 UR - https://pm-research.com/content/38/2/136.abstract N2 - Mizrach analyzes the jump frequency in the MarketABX.HE Index of subprime home equity credit default swaps and CME housing futures. Jumps began to appear prior to 2007. The jumps are more pronounced in housing futures than in the ABX index. He explains nearly 85% of the jumps from news and housing futures.A 20-point slope in the housing futures curve leads to an expected jump of -1.4% in the BBB– ABX index.TOPICS: MBS and residential mortgage loans, asset-backed securities (ABS), financial crises and financial market history ER -