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

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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

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题名:	Valuation of Non-Negative-Equity Guarantees, Considering Contagion Risk for House Prices Under the HJM Interest Rate Model
作者:	黃泓智;楊曉文 Huang, Hong-Chih Chen, Fen Ying Yang, Sharon S.
贡献者:	風管系;金融系
日期:	2021-03
上传时间:	2021-06-25 09:47:56 (UTC+8)
摘要:	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.
關聯:	Quantitative Fiance
数据类型:	article
DOI 連結:	https://doi.org/10.1080/14697688.2021.1890805
DOI:	10.1080/14697688.2021.1890805
显示于类别:	[風險管理與保險學系] 期刊論文 [金融學系] 期刊論文

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