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Risk, Return and Hedging of Fixed Rate Mortgages

Breeden, Douglas T. - 2015

This article computes the returns from dynamic hedging of the interest rate and prepayment risks of insured fixed rate mortgages. Changing durations cause dynamic hedges with futures markets. Nonparallel shifts in the yield curve are also investigated. Hedges are found to be risk-reducing, but...

Persistent link: https://www.econbiz.de/10013017696

Determining an optimal principal limit factor for reverse mortgages under economics-based models

Chiang, Shu Ling; Tsai, Ming-shann; Wang, Chien-an - In: The journal of real estate finance and economics 63 (2021) 4, pp. 565-597

Persistent link: https://www.econbiz.de/10012653290

Multivariate risk-neutral pricing of reverse mortgages under the Bayesian framework

Li, Jackie; Kogure, Atsuyuki; Liu, Jia - In: Risks : open access journal 7 (2019) 1/11, pp. 1-12

In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price … three risk components simultaneously. Our numerical results based on Australian data suggest that a reverse mortgage would …

Persistent link: https://www.econbiz.de/10012018623

Does product liability regulation really pay off? : less injuries and damages versus consumers' risk compensation

Standop, Dirk - 1999

Persistent link: https://www.econbiz.de/10001372505

Sharing of cost related information can increase consumer welfare under risk-aversion

Mungan, Murat C. - In: Review of law and economics : publ. in cooperation with … 15 (2019) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10012197397

Three essays in applied empirical economics : the financing of governments, corporations and households

Ebner, André - 2009

Persistent link: https://www.econbiz.de/10003959165

The exposure of mortgage borrowers to interest rate risk, income risk and house price risk : evidence from Swiss loan application data

Brown, Martin; Guin, Benjamin - 2014 - This draft: 2 December 2014

We study the exposure of mortgage borrowers in Switzerland to interest rate, income and house price risks and examine … analysis is based on a unique data set of household mortgage applications from September 2012 until January 2014. Our … assessment of risk exposure among mortgage borrowers in Switzerland is highly sensitive to the underlying assumptions on mortgage …

Persistent link: https://www.econbiz.de/10011344795

Systemic risk and the refinancing ratchet effect

Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - In: Journal of financial economics 108 (2013) 1, pp. 29-45

Persistent link: https://www.econbiz.de/10009746574

Effect of mortgage market risk on mortgage uptake : a case study of mortgage lenders in Kenya

Akenga, Grace Melissa; Olang, Margaret Akinyi; Galo, … - In: Journal of investment and management : JIM 4 (2015) 6, pp. 334-347

Persistent link: https://www.econbiz.de/10011507215

The exposure of mortgage borrowers to interest rate risk and house price risk : evidence from Swiss loan application data

Brown, Martin; Guin, Benjamin - In: Swiss journal of economics and statistics 151 (2015) 2, pp. 89-123

We study the aggregate exposure of mortgage borrowers in Switzerland to interest rate and house price risks and examine … variation. The analysis is based on a unique data set of household mortgage applications. Our results suggest that the aggregate …

Persistent link: https://www.econbiz.de/10011297952

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