Jump and Cojump Risk in Subprime Home Equity Derivatives

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I analyze the jump frequency in the ABX index of subprime home equity credit default swaps and CME housing futures. Jumps begin to appear prior to 2007, but are more pronounced in the housing futures than the ABX. I can explain nearly 85% of the jumps from news and the housing futures. A 20 point slope in the housing futures curve leads to an expected jump of -1:4% in the BBB- ABX.