政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135867

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113303/144284 (79%)
Visitors : 50807794 Online Users : 842

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/135867

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135867

Title:	Valuation of Non-Negative-Equity Guarantees, Considering Contagion Risk for House Prices Under the HJM Interest Rate Model
Authors:	黃泓智;楊曉文 Huang, Hong-Chih Chen, Fen Ying Yang, Sharon S.
Contributors:	風管系;金融系
Date:	2021-03
Issue Date:	2021-06-25 09:47:56 (UTC+8)
Abstract:	Writing non-negative equity guarantees (NNEGs) is the main method used to deal with the risks of equity release products in the United Kingdom. The existing empirical literature indicates the potential for contagion of interregional and international house prices, but no studies have modeled these contagion effects. This paper applies a Merton-jump-diffusion model to propose a general model to investigate the impacts of house price contagion on the valuation of NNEGs. We derive a closed-form solution for the price of NNEGs and use an analytic formula to investigate contagion effects on NNEGs efficiently. This research establishes that ignoring the contagion effects of house prices can lead to underestimating of the value of NNEGs. Treating the contagion effect is critical for valuing NNEGs, in light of the development of equity release products.
Relation:	Quantitative Fiance
Data Type:	article
DOI 連結:	https://doi.org/10.1080/14697688.2021.1890805
DOI:	10.1080/14697688.2021.1890805
Appears in Collections:	[風險管理與保險學系] 期刊論文 [金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
150.pdf		287Kb	Adobe PDF2	270	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...