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An empirical estimation of default risk of the UK real estate companies

Patel, Kanaklata; Vlamis, Prodromos - In: The journal of real estate finance and economics 32 (2006) 1, pp. 21-40

Persistent link: https://www.econbiz.de/10003278868

Expected default probabilities in structural models : empirical evidence

Patel, Kanak; Pereira, Ricardo - In: The journal of real estate finance and economics 34 (2007) 1, pp. 107-133

Persistent link: https://www.econbiz.de/10003490492

Pricing property index linked swaps with counterparty default risk

Patel, Kanak; Pereira, Ricardo - In: The journal of real estate finance and economics 36 (2008) 1, pp. 5-21

Persistent link: https://www.econbiz.de/10003622042

Evidence of irreversibility in the UK property market

Sing, Tien-foo; Patel, Kanak - In: The quarterly review of economics and finance : journal … 41 (2001) 3, pp. 313-334

Persistent link: https://www.econbiz.de/10001602989

The conditional distribution of real estate returns : are higher moments time varying?

Bond, Shaun A.; Patel, Kanak - In: The journal of real estate finance and economics 26 (2003) 2/3, pp. 319-339

Persistent link: https://www.econbiz.de/10001763264

Implied volatility in the UK commercial property market : empirical evidence based on transaction data

Patel, Kanak; Sing, Tien-foo - In: The journal of real estate finance and economics 20 (2000) 1, pp. 5-24

Persistent link: https://www.econbiz.de/10001486316

Basis convergence and rate volatility in sterling LIBOR futures

Patel, Kanaklata - In: Review of futures markets 8 (1989) 2, pp. 262-284

Persistent link: https://www.econbiz.de/10001083700

Pricing Property Index Linked Swaps With Counterparty Default Risk

Patel, Kanak; Pereira, Ricardo - 2007

This paper extends Bjork and Clapham (2002) model for pricing real estate index total return swaps. Our extension considers counterparty default risk within a first passage contingent claims model. We price total return swaps on property indices with different levels of default risk. We develop...

Persistent link: https://www.econbiz.de/10014224585