The Limits of Blaming Neo-Liberalism: Fannie Mae and Freddie Mac, the American State and the Financial Crisis

2012 ◽  
Vol 17 (4) ◽  
pp. 399-419 ◽  
Author(s):  
Helen Thompson
Keyword(s):  
Financial Crisis ◽  
Fannie Mae ◽  
Freddie Mac ◽  
American State

scholarly journals Multidimensional Structural Credit Modeling under Stochastic Volatility

2013 ◽  
Vol 2013 ◽  
pp. 1-12
Author(s):  
Marcos Escobar ◽  
Tim Friederich ◽  
Luis Seco ◽  
Rudi Zagst
Keyword(s):  
Financial Crisis ◽  
Stochastic Volatility ◽  
Default Risk ◽  
Heston Model ◽  
Call Option ◽  
Fannie Mae ◽  
Structural Credit Model ◽  
Dependency Structures ◽  
Freddie Mac ◽  
A Company

This paper extends the structural credit model with underlying stochastic volatility to a multidimensional framework. The model combines the Black/Cox framework with the Heston model interpreting the equity of a company as a down-and-out barrier call option on the company's assets. This implies a combination of local and stochastic volatility on the equity as well as other stylized features. In this paper, we allow for a correlation between the asset processes of different companies to incorporate dependency structures. An estimator for the correlation parameter is derived and tested in a recovery framework. With the help of this model, we examine the default risk of the two mortgage lenders Fannie Mae and Freddie Mac before their actual placement into federal conservatorship and show that their default risk severely increased during the financial crisis.

Book Reviews

2019 ◽  
Vol 57 (1) ◽  
pp. 187-188
Keyword(s):  
Financial Crisis ◽  
Gain Control ◽  
The Public ◽  
Fannie Mae ◽  
The Us ◽  
Us Government ◽  
National University ◽  
Federal National Mortgage Association ◽  
Freddie Mac

Sumit Agarwal of National University of Singapore reviews “Last Resort: The Financial Crisis and the Future of Bailouts,” by Eric A. Posner. The Econlit abstract of this book begins: “Argues that, in responding to the financial crisis that began in 2007, the US government violated the law and was able to gain control over AIG, the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) early in the critical stage of the crisis—but it did so in the public interest.”

scholarly journals The Rescue of Fannie Mae and Freddie Mac

2015 ◽  
Author(s):  
W. Scott Frame ◽  
Andreas Fuster ◽  
Joseph Tracy ◽  
James Ian Vickery
Keyword(s):  
Fannie Mae ◽  
Freddie Mac
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