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The Journal of Structured Finance

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Shedding Light on Subprime RMBS

Jerome S Fons
The Journal of Structured Finance Spring 2009, 15 (1) 81-91; DOI: https://doi.org/10.3905/JSF.2009.15.1.081
Jerome S Fons
is owner of Fons Risk Solutions and former managing director, Credit Policy, Moody's Investors Service in New York, NY.
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  • For correspondence: jfons@nyc.rr.com
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Abstract

The recent credit crisis stems in part from an inability to value certain securities linked to home mortgages. The ABX.HE home equity indices constitute one of the more popular pricing proxies for subprime mortgages. The indices may nevertheless overstate or understate true, or fundamental, asset values. This article contrasts the performance of the ABX index against ABSTRAK®, a fundamental valuation model for structured securities. The first section provides an overview of the subprime problem. The following section outlines the construction of the ABX indices and is followed by a description of ABSTRAK®. The final section presents the results of the comparison between ABSTRAK® and the ABX.HE indices.

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The Journal of Structured Finance
Vol. 15, Issue 1
Spring 2009
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Shedding Light on Subprime RMBS
Jerome S Fons
The Journal of Structured Finance Apr 2009, 15 (1) 81-91; DOI: 10.3905/JSF.2009.15.1.081

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Shedding Light on Subprime RMBS
Jerome S Fons
The Journal of Structured Finance Apr 2009, 15 (1) 81-91; DOI: 10.3905/JSF.2009.15.1.081
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  • Article
    • Abstract
    • RECENT HISTORY
    • IMPACT OF VALUATION ERRORS
    • THE ABX SUBPRIME INDICES
    • DESCRIPTION OF ABSTRAK®
    • The ABSTRAK® Formalism
    • COMPARISON OF ABX AND ABSTRAK®
    • RESULTS
    • CONCLUSION
    • ENDNOTES
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