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Property Derivatives and Index-Linked Mortgages

Syz, Juerg; Vanini, Paolo; Salvi, Marco - Institut für Schweizerisches Bankwesen <Zürich> - 2006

stabilization of the homeowners net wealth, price the instruments, and quantify the expected decrease in the mortgage default risk …

Persistent link: https://www.econbiz.de/10005858211

Real Estate Prices in Production Economies

Jaccard, Ivan - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The aim of this study is to develop a general equilibrium framework linking real estate prices to the real economy. The model is evaluated in terms of its ability to explain: (i) the high volatility of residential real estate prices, (ii) the fact that commercial real estate prices are more...

Persistent link: https://www.econbiz.de/10005858247

Fundamental Real Estate Prices: An Empirical Estimation with International Data

Hott, Christian; Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We propose two alternative models to estimate fundamental prices on real estate markets. Both models state that the fundamental price is the sum of the discounted future period costs that arise from owning a house. The first model is based on a no-arbitrage condition between renting and buying a...

Persistent link: https://www.econbiz.de/10005858329

House Prices, Real Estate Returns and the Business Cycle

Jaccard, Ivan - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The main objective of this work is to develop a general equilibrium business cycle model linking financial and real estate markets to the macroeconomy. The ability of a production economy to account simultaneously for asset pricing, business cycle and real estate market facts is then evaluated...

Persistent link: https://www.econbiz.de/10005858335

Neue Wege für das inländische Kreditgeschäft - Rating-Agentur und Workout-Gesellschaft für KMUs in der Schweiz

Lautenschlager, Peter; Mettler, Alfred; Volkart, Rudolf - Institut für Schweizerisches Bankwesen <Zürich>

Die Kreditlandschaft der Schweiz befindet sich in einem strukturellen Umbruch. Die Einführung risikogerechter Kreditkonditionen, teure Kreditprozesse, sowie ein hoher Anteil von Problempositionen fordern die Banken heraus...

Persistent link: https://www.econbiz.de/10005857035

The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Mertons ICAPM. The systematic pricing of credit riskis...

Persistent link: https://www.econbiz.de/10005857973

Dependent Credit Migrations

Wendin, Jonathan; McNeil, Alexander J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005

This paper examines latent risk factors in models for migration risk. We employ thestandard statistical framework for ordered categorical variables and induce dependencebetween migrations by means of latent risk factors. By assuming a Markov process forthe dynamics of the latent factors, the...

Persistent link: https://www.econbiz.de/10005857974

Credit Risk and Substainable Debt: A Model and Estimationsof Why the Euro is Stable in the Long-Run

Semmler, Willi; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Sustainable debt has become a key issue in rating of private as well as sovereign debtors. The problem of how to estimate sustainable debt has also been at the center of debate over theAsian 1997-1998 financial crisis. If the external value of the currency depends on the external debt of a...

Persistent link: https://www.econbiz.de/10005858002

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

mortgage servicing data set and compare the resulting loss distributions to a well-known benchmark, i.e. the loss distribution … mortgage portfolio are shown to be greatly sensitive to the prevailing socio-economic scenario. We present evidence that … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

Persistent link: https://www.econbiz.de/10005858102

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Ehlers, Philippe; Schönbucher, Philipp J. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...

Persistent link: https://www.econbiz.de/10005858244