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Valuation of no-negative-equity guarantees with a lower reflecting barrier
Thomas, R. Guy - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 1, pp. 115-143
Persistent link: https://www.econbiz.de/10012505604
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Dynamic option adjusted spread and the value of mortgage backed securities
Cerrato, Mario; Djennad, Abdelmadjid - 2009
Persistent link: https://www.econbiz.de/10003839283
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Dynamic option adjusted spread and the value of mortgage backed securities
Cerrato, Mario (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003805892
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Mortgage Default Option Mispricing and Procyclicality
Davidson, Andrew - 2013
This paper addresses the expansion and performance of non-standard mortgage lending products to better understand the …
Persistent link: https://www.econbiz.de/10013080310
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Minsky, Options and Subprime
Oldani, Chiara - 2010
The Financial Instability Hypothesis-FIH (Minsky, 1977) explains the endogenous creation of the business cycle by considering how the economic units contribute to the capital development, and the debt impact. The FIH is a powerful model to describe how financial markets become unstable, also in...
Persistent link: https://www.econbiz.de/10013140057
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Evaluation of the reverse mortgage option in Korea : a long straddle perspective
Choi, Kyung Jin; Lim, Byungkwon; Park, Jaehwan - In: International Journal of Financial Studies : open … 8 (2020) 3/55, pp. 1-14
This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the … Black-Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices. However … maturity, on the option value of a reverse mortgage. The sensitivity results of the key variables supported economic rationales …
Persistent link: https://www.econbiz.de/10012291906
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Can 'High Costs' Justify Weak Demand for the Home Equity Conversion Mortgage?
Davidoff, Thomas - 2015
Home Equity Conversion Mortgages ("HECMs'') implicitly bundle put options on borrowers' homes with non-defaultable credit lines. Put proceeds are bequeathable and insure longevity and home prices. Credit use is elective, so the put's expected net present value bounds HECM's value to borrowers...
Persistent link: https://www.econbiz.de/10013036494
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Toxic asset subsidies and the early redemption of talf loans
Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20
predict the early redemption of Term Asset-Backed Securities Loan Facility (TALF) loans used to purchase commercial mortgage …
Persistent link: https://www.econbiz.de/10013252762
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Residential Mortgage Default : The Roles of House Price Volatility, Euphoria and the Borrower's Put Option
Archer, Wayne R. - 2012
's put option are integrated in a model of residential mortgage default. These dimensions of the default problem have, to our … mortgage loans for twenty counties in Florida, over the period 2001 through 2008, third quarter, with housing price performance …
Persistent link: https://www.econbiz.de/10013096496
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Residential Mortgage Default : The Roles of House Price Volatility, Euphoria and the Borrower’s Put Option
Archer, Wayne R. - 2012
's put option are integrated in a model of residential mortgage default. These dimensions of the default problem have, to our … mortgage loans for twenty counties in Florida, over the period 2001 through 2008, third quarter, with housing price performance …
Persistent link: https://www.econbiz.de/10013116498