PT - JOURNAL ARTICLE AU - Bruce Mizrach TI - Jumps and Cojumps in Subprime Home Equity Derivatives AID - 10.3905/jpm.2012.38.2.136 DP - 2012 Jan 31 TA - The Journal of Portfolio Management PG - 136--146 VI - 38 IP - 2 4099 - https://pm-research.com/content/38/2/136.short 4100 - https://pm-research.com/content/38/2/136.full AB - 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