0 comments on “Are ESG Alpha and Beta Benefits in Corporate Bonds a Mirage?”

Are ESG Alpha and Beta Benefits in Corporate Bonds a Mirage?

In this new paper, members of the quantitative research and portfolio management teams at Coolabah Capital Investments (CCI) present new evidence on whether the claimed alpha and beta benefits of ESG filters in both the global equities and corporate bond markets…

0 comments on “RMBS default rates trending higher as house prices plunge”

RMBS default rates trending higher as house prices plunge

Coolabah developed the world's first compositionally-adjusted, or hedonic, regression-based index of RMBS default rates, covering all prime deals that Bloomberg reports on (you can download the paper here). We update this index monthly, and the results are enclosed below. Contrary to…

0 comments on “A new hedonic approach to measuring mortgage default risk”

A new hedonic approach to measuring mortgage default risk

Measuring and monitoring the true level of mortgage delinquencies across an economy is essential for asset pricing and financial system stability. Yet public measures of mortgage default risk almost always use simple averages across pools of individual assets, including balance-sheet…