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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/133640

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/133640

Title:	Modeling Housing Price Dynamics and Their Impact on the Cost of No-Negative-Equity- Guarantees for Equity Releasing Products
Authors:	楊曉文 Yang, Sharon S. 黃志偉 Huang, Jr-Wei 張傳章 Chang, Chuang-Chang
Contributors:	金融系
Date:	2020-07
Issue Date:	2021-01-21 09:35:27 (UTC+8)
Abstract:	We investigate model risk in pricing no-negative-equity guarantees (NNEGs) with the aim of identifying the housing risks involved in equity-release products. To analyze the regional and local effect in the house price modeling, we evaluate different models using the house price index (HPI) based on the cities of London, Manchester and Coventry and the UK nationwide HPI respectively. The ARMA-GARCH jump model that can capture the characteristics of jump persistence, autocorrelation and volatility clustering are proposed according to the model fittings. To investigate the model risk on the cost of NNEGs, we then derive the risk-neutral valuation framework using the conditional Esscher transform technique (Bühlmann et al. 1996). Our numerical analyses reveal that the housing model risk affects the costs of NNEGs significantly. In addition, the cost of NNEGs is significantly different for different cities due to localized effect. Therefore, the basis risk is large enough to matter when pricing NNEGs.
Relation:	Journal of Real Estate Finance and Economics
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

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