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Default correlation: An empirical investigation of a subprime lender

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Author Info
Cowan, Adrian M.
Cowan, Charles D.
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File URL: http://www.sciencedirect.com/science/article/B6VCY-4B3MTRT-5/2/701314e132f4ae7906554c8a286c2ae7
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 4 (April)
Pages: 753-771
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Handle: RePEc:eee:jbfina:v:28:y:2004:i:4:p:753-771

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  1. Taylor D. Nadauld & Shane M. Sherlund, 2009. "The role of the securitization process in the expansion of subprime credit," Finance and Economics Discussion Series 2009-28, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Wang, Fan, 2007. "Risk-Based Pricing of High Loan-To-Value Mortgage," MPRA Paper 4788, University Library of Munich, Germany. [Downloadable!]
  3. Siem Jan Koopman & André Lucas & Robert J. Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," DNB Working Papers 055, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:
  4. Souphala Chomsisengphet & Anthony Pennington-Cross, 2006. "Subprime refinancing: equity extraction and mortgage termination," Working Papers 2006-023, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  5. Júlia Király & Márton Nagy & Viktor E. Szabó, 2008. "Contagion and the beginning of the crisis – pre-Lehman period," MNB Occasional Papers 2008/76, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
  6. Patrick Bajari & Chenghuan Sean Chu & Minjung Park, 2008. "An Empirical Model of Subprime Mortgage Default From 2000 to 2007," NBER Working Papers 14625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Bandyopadhyay, Arindam & Kuvalekar, S V & Basu, Sanjay & Baid, Shilpa & Saha, Asish, 2008. "A Study of Residential Housing Demand in India," MPRA Paper 9339, University Library of Munich, Germany. [Downloadable!]
  8. Michelle A. Danis & Anthony Pennington-Cross, 2005. "The delinquency of subprime mortgages," Working Papers 2005-022, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  9. Michelle A. Danis & Anthony Pennington-Cross, 2005. "A dynamic look at subprime loan performance," Working Papers 2005-029, Federal Reserve Bank of St. Louis. [Downloadable!]
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This page was last updated on 2009-12-30.


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