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ERM frameworks [4]

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Bullet points include: Proximate trigger. Delinquency rates in sub-prime show major deterioration for mortgages originated in 2006. See e.g. Demyanyk and Van Hemert, February 2008. Confidence in ABS Market collapsed. E.g. scattering from c. July 2007 onwards of prices of AA-rates US Fixed Rate Home Equity Loan Asset Backed Securities (ABS) with face value of 100, when priced off yield curve applying to average AA-rated issue

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