政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/133816

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113822/144841 (79%)
Visitors : 51818618 Online Users : 458

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 > 金融學系 > 期刊論文 > Item 140.119/133816

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/133816

Title:	Modeling Housing Price Dynamics and Their Impact on the Cost of No-Negative-Equity- Guarantees for Equity Releasing Products
Authors:	楊曉文 Yangb, Sharon S. Chang , Chuang-Chang Huang, Jr-Wei
Contributors:	金融系
Keywords:	NNEGs;Equity-releasing products;House Price returns;Conditional Esscher transform
Date:	2020-06
Issue Date:	2021-01-28
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
DOI 連結:	https://doi.org/10.1007/s11146-020-09776-3
DOI:	10.1007/s11146-020-09776-3
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Size	Format
196.pdf	1013Kb	Adobe PDF2	249	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...