Asset-backed securitization (ABS) is a relatively new financial instrument in Singapore's capital market, which has been accepted by developers (originators) as an alternative source of financing. Credit assessment and rating requirements have not been imposed on the ABS bond issues....

In pricing real estate with indifference pricing approach, market incompleteness is shown to significantly alter the conventional pricing relationships between real estate and financial asset. Specifically, we focus on the pricing implication of market comovement because comovement tends to be...

Commercial mortgage-backed securities (CMBS), as a portfolio-based financial product, have gained great popularity in financial markets. This paper extends Childs, Ott and Riddiough’s (J Financ Quant Anal, 31(4), 581–603, <CitationRef CitationID="CR8">1996</CitationRef>) model by proposing a copula-based methodology for pricing CMBS...</citationref>

The hedonic-based regression approach has been utilised extensively to investigate th relationship between house prices and housing characteristics. However, this approach is subject t criticisms arising from potential problems relating to fundamental model assumptions an estimation such as the...

Since the loan limit of a reverse mortgage is a major concern for the borrower as well as the lender, this paper attempts to develop an option-based model to evaluate the loan limits of reverse mortgages. Our model can identify several crucial determinants for reverse mortgage loan limits, such...

One interesting explanation for asset securitization is the managerial agency theory—where securitization of cash flows that are relatively insensitive to managerial effort reduces the noise for cash flows that are sensitive to managerial effort (Iacobucci and Winter, 2005). This paper extends...

Asset-backed securitization (ABS) is a creative arrangement to raise funds through the issuance of marketable securities backed by predictable future cash flows from revenue-producing assets. This paper proposes two pricing models: structural model and intensity model, to value credit spreads on...