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SUMMARY:Liquidity Provision\, Credit Risk and the Bond Spread: New Evidenc
 e from the Subprime Mortgage Market - Professor Timothy Riddiough\, Univer
 sity of Wisconsin-Madison
DTSTART:20160210T160000Z
DTEND:20160210T170000Z
UID:TALK64149@talks.cam.ac.uk
CONTACT:Clare Eaves
DESCRIPTION:We study the determinants of the subprime mortgage loan spread
 \, with a particular focus on funding liquidity and default-liquidity inte
 raction effects. We find that sector-level as well as macro funding liquid
 ity provision affected subprime loan rates\, explaining a significant port
 ion of the variation in spreads. Liquidity conditions just prior to loan d
 efault mattered\, indicating destabilizing liquidity-driven default effect
 s. A reduction in macro funding liquidity provision at the time of loan or
 igination predicts worsening credit performance\, implying a stabilizing d
 efault-driven liquidity component in the loan spread. Positive default-liq
 uidity feedback (spiraling) effects are also documented.\n\n\nBiography\n\
 nTimothy (Tim) Riddiough holds the E.J. Plesko Chair and is a professor in
  the Department of Real Estate and Urban Land Economics at the Wisconsin S
 chool of Business. He also serves as Academic Director of the Graaskamp Ce
 nter for Real Estate and Director of the Applied Real Estate Securities An
 alysis Track (AREIT). He previously served as the academic director of the
  Graaskamp Center for Real Estate from 2004-2009. \n\n\nRiddiough was the 
 2012 president of the American Real Estate and Urban Economics Association
  (AREUEA). He has been active in AREUEA for many years\, serving on the bo
 ard of directors several times. He is on the editorial board of Real Estat
 e Economics and for several years served as editor of Real Estate Finance.
  He currently serves on the editorial boards of five other real estate-rel
 ated journals. \n\n\nHis honors and awards include winning the best disser
 tation and best paper awards from AREUEA\, being named a founding fellow a
 t the Real Estate Research Institute\, and a fellow at the Homer Hoyt Inst
 itute for Advanced Studies.\n\n\nRiddiough is best known for his work on c
 redit risk in mortgage lending\, mortgage securitization\, real options\, 
 REIT investment and corporate finance\, and land use regulation. His curre
 nt research interests are focused on the financial crisis of 2007-08\, eco
 nomic development of debt markets\, and optimal contract design.\n\n\nRidd
 oiugh is an active participant in the commercial real estate industry\, sp
 eaking often on the financial crisis\, and was recently named to NAREIT’
 s investment advisory council. He is also active with the Pension Real Est
 ate Association and the Commercial Mortgage Securities Association. He adv
 ises several real estate organizations on investment and risk management i
 ssues\, and has served as an expert economic consultant on numerous legal 
 matters involving real estate finance and investment issues.\n\n
LOCATION:Mill Lane Lecture Room 1
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