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Concept

Subprime mortgage crisis

Related publications (22)

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Andreas Fuster

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

2024

Mortgage-backed securities

Andreas Fuster

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Edward Elgar2023

Essays in macro-finance and deep learning

Goutham Gopalakrishna

This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large ...

EPFL2023

Scale effects on efficiency and profitability in the Swiss banking sector

Andreas Fuster

This paper analyzes efficiency and profitability in the Swiss banking sector over the period 1997–2019. We find strong evidence for scale economies: for most banks in the sample, efficiency and profitability increase with bank size. Using an instrumental v ...

2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Yu Wu

After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the m ...

EPFL2021

Clusters of science and health related Twitter users become more isolated during the COVID-19 pandemic

Marcel Salathé, Martin Mathias Müller

COVID-19 represents the most severe global crisis to date whose public conversation can be studied in real time. To do so, we use a data set of over 350 million tweets and retweets posted by over 26 million English speaking Twitter users from January 13 to ...

Nature Portfolio2021

Mortgage Supply and Capital Regulation in a Low Interest Rate Environment

Luisa Lambertini, Yu Wu

Low-for-long nominal interest rates have resulted in strong growth in mort- gage lending and real house prices in Switzerland. Domestically-oriented, small banks have mostly contributed to this expansion in mortgage lending while the two big, global system ...

2020

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

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 : does IT matter during crisis, during financing and in Innovation?

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

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

Mortgage Default in an Estimated Model of the U.S. Housing Market

Luisa Lambertini, Pinar Uysal, Victoria Nuguer

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortg ...

2017

Collapse phenomena of deformed cavitation bubbles

Outi Supponen

Cavitation bubbles are a topic of long-standing interest owing to the powerful phenomena associated with their collapse. Their unique ability to focus energy typically causes damage in hydraulic machinery (turbines, pumps, propellers, ...) but, if managed ...

EPFL2017

Debt enforcement, investment, and risk taking across countries

Erwan Morellec, Philip Valta

We argue that the prospect of an imperfect enforcement of debt contracts in default reduces shareholder-debtholder conflicts and induces leveraged firms to invest more and take on less risk as they approach financial distress. To test these predictions, we ...

2017

The Euro Interbank Repo Market

Loriano Mancini

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and compre ...

Oxford University Press2016

Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Damir Filipovic, Léo Hamed Amini

We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all. ...

Informs2016

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Energy Efficiency Valuation and Mortgage's Implicit Insurance

Philippe Bélanger

This thesis has two objectives. The first objective is to better understand the value of energy efficiency in buildings and its relationship to secondary market real estate prices. The second objective is to understand the cost of the implied insurance inc ...

EPFL2015

Related publications (22)

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

Wei Zhang

KARGER2019