Working Paper Series _______________________________________________________________________________________________________________________ National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No. 537 Property Derivatives and the Subprime Crisis Juerg M. Syz Paolo Vanini First version: June 2009 Current version: June 2009 This research has been carried out within the NCCR FINRISK project on “ Credit Risk and Non-Standard Sources of Risk in Finance” ___________________________________________________________________________________________________________