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CATEGORIES:Land Economy Departmental Seminar Series
SUMMARY:Liquidity Provision\, Credit Risk and the Bond Spr
 ead: New Evidence from the Subprime Mortgage Marke
 t - Professor Timothy Riddiough\, University of Wi
 sconsin-Madison
DTSTART;TZID=Europe/London:20160210T160000
DTEND;TZID=Europe/London:20160210T170000
UID:TALK64149AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/64149
DESCRIPTION:We study the determinants of the subprime mortgage
  loan spread\, with a particular focus on funding 
 liquidity and default-liquidity interaction effect
 s. We find that sector-level as well as macro fund
 ing liquidity provision affected subprime loan rat
 es\, explaining a significant portion of the varia
 tion in spreads. Liquidity conditions just prior t
 o loan default mattered\, indicating destabilizing
  liquidity-driven default effects. A reduction in 
 macro funding liquidity provision at the time of l
 oan origination predicts worsening credit performa
 nce\, implying a stabilizing default-driven liquid
 ity component in the loan spread. Positive default
 -liquidity feedback (spiraling) effects are also d
 ocumented.\n\n\nBiography\n\nTimothy (Tim) Riddiou
 gh holds the E.J. Plesko Chair and is a professor 
 in the Department of Real Estate and Urban Land Ec
 onomics at the Wisconsin School of Business. He al
 so serves as Academic Director of the Graaskamp Ce
 nter for Real Estate and Director of the Applied R
 eal Estate Securities Analysis Track (AREIT). He p
 reviously served as the academic director of the G
 raaskamp Center for Real Estate from 2004-2009. \n
 \n\nRiddiough was the 2012 president of the Americ
 an Real Estate and Urban Economics Association (AR
 EUEA). He has been active in AREUEA for many years
 \, serving on the board of directors several times
 . He is on the editorial board of Real Estate Econ
 omics and for several years served as editor of Re
 al Estate Finance. He currently serves on the edit
 orial boards of five other real estate-related jou
 rnals. \n\n\nHis honors and awards include winning
  the best dissertation and best paper awards from 
 AREUEA\, being named a founding fellow at the Real
  Estate Research Institute\, and a fellow at the H
 omer Hoyt Institute for Advanced Studies.\n\n\nRid
 diough is best known for his work on credit risk i
 n mortgage lending\, mortgage securitization\, rea
 l options\, REIT investment and corporate finance\
 , and land use regulation. His current research in
 terests are focused on the financial crisis of 200
 7-08\, economic development of debt markets\, and 
 optimal contract design.\n\n\nRiddoiugh is an acti
 ve participant in the commercial real estate indus
 try\, speaking often on the financial crisis\, and
  was recently named to NAREIT’s investment advisor
 y council. He is also active with the Pension Real
  Estate Association and the Commercial Mortgage Se
 curities Association. He advises several real esta
 te organizations on investment and risk management
  issues\, and has served as an expert economic con
 sultant on numerous legal matters involving real e
 state finance and investment issues.\n\n
LOCATION:Mill Lane Lecture Room 1
CONTACT:Clare Eaves
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