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Unethical misuse of derivatives and market volatility around the global financial crisis
Jo, Hoje Lee, Claudia Munguia, Adam Nguyen, Cantalina
Jo, Hoje
Lee, Claudia
Munguia, Adam
Nguyen, Cantalina
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n09398.pdf
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Abstract
This paper examines unethical misuse of three derivative securities of mortgage-backed securities (MBS), credit default swap (CDS), and collateralized debt obligations (CDO) to understand the cause of the global financial crisis. The authors then gauge their effects on market volatility based on how past major events affected swings in the volatility index (VIX). Additionally, the authors examine how the unethical misuse of these securities and their effects on market volatility contributed to the global financial crisis.
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2009-07
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With permission of the license/copyright holder