Housing Price Dynamics And The Valuation Of Mortgage Default Options PDF Download
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| Author | : Chiong-long Kuo |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
Download Housing Price Dynamics and the Valuation of Mortgage Default Options Book in PDF, ePub and Kindle
The mortgage pricing literature typically assumes that house prices evolve according to a geometric Brownian motion; the literature then employs conventional arbitrage arguments to value mortgages and their imbedded default options. However, this is not a realistic approach to the modeling of the real estate market. In this paper, a method of polynomial approximation is proposed to value the mortgage default option. This methodology does not rely on arbitrage arguments. Rather than assuming the house priceto be a random walk process, I set up a more realistic house price model with three return components and then use actual transaction data in four cities to estimate the price process. I then apply the empirically estimated house price model to value the default option. I show that variation in the forecastable returns can produce significant variation in the mortgage default option price. The serial correlation of the market return is found to have strong impacts on the price of the default option in all four cities. The random walk model is not able to use the information of current market return and persistent idiosyncratic error for the valuation of the mortgage default option, and therefore may lead to mispricing of the option.
| Author | : John Krainer |
| Publisher | : DIANE Publishing |
| Total Pages | : 45 |
| Release | : 2010-10 |
| Genre | : Law |
| ISBN | : 143793384X |
Download Mortgage Default and Mortgage Valuation Book in PDF, ePub and Kindle
The authors develop an equilibrium valuation model that incorporates optimal default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value (LTV) ratios. The analysis treats both the frictionless case and the case in which borrowers and lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. Given reasonable parameter values, the model does a surprisingly good job fitting the risk premium in the data for high LTV mortgages. Thus, from an ex ante perspective, the authors do not find strong evidence of systematic underpricing of default risk in the run-up to the housing market crisis. Charts and tables.
| Author | : Andrew Davidson |
| Publisher | : Oxford University Press |
| Total Pages | : 465 |
| Release | : 2014-05-22 |
| Genre | : Business & Economics |
| ISBN | : 0199363684 |
Download Mortgage Valuation Models Book in PDF, ePub and Kindle
Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities.
| Author | : Wayne R. Archer |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Residential Mortgage Default Book in PDF, ePub and Kindle
House price volatility; lender and borrower perception of price trends, loan and property features; and the borrower's put option are integrated in a model of residential mortgage default. These dimensions of the default problem have, to our knowledge, not previously been considered altogether within the same investigation framework. We rely on a sample of individual mortgage loans for twenty counties in Florida, over the period 2001 through 2008, third quarter, with housing price performance obtained from repeat sales analysis of individual transactions. The results from the analysis strongly confirm the significance of the borrower's put as an operative factor in default. At the same time, the results provide convincing evidence that the experience in Florida is in part by lenders and purchasers exhibiting euphoric behavior such that in markets with higher price appreciation there is a willingness to accept recent prior performance as an indicator of future risk. This connection illustrates a familiar moral hazard in the housing market due to the limited information about future prices.
| Author | : |
| Publisher | : |
| Total Pages | : 456 |
| Release | : 1996 |
| Genre | : Housing |
| ISBN | : |
Download Journal of Housing Economics Book in PDF, ePub and Kindle
| Author | : Juan Carlos Hatchondo |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2012-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1463932537 |
Download Mortgage Defaults Book in PDF, ePub and Kindle
This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents' ability to self-insure against income shocks are similar to those of a SIM model without housing but housing increases the values of these coefficients for younger agents. The response of consumption to house price shocks is minimal. The introduction of minimum down payments or income garnishment benefits a majority of the population.
| Author | : Michal Andrle |
| Publisher | : International Monetary Fund |
| Total Pages | : 42 |
| Release | : 2019-03-18 |
| Genre | : Business & Economics |
| ISBN | : 1498304400 |
Download Assessing House Prices with Prudential and Valuation Measures Book in PDF, ePub and Kindle
In this paper we provide tools for assessing the house prices and housing valuation. We develop two approaches: (i) borrowing capacity approach, and (ii) intrinsic value approach. The borrowing capacity of households, together with their down payment, implies how much housing they can attain. In the intrinsic value approach, property value is viewed as a discounted present value of adjusted net rental income. Our approach does not involve a complex econometric model and only widely available data are used. The proposed indicators can guide households, financial markets and macroprudential authorities in their understanding of house prices development. To illustrate the concepts, we analyze the housing prices in the Czech Republic and assess the degree of market over-and undervaluation.
| Author | : Joe P. Mattey |
| Publisher | : |
| Total Pages | : 62 |
| Release | : 1998 |
| Genre | : Mortgage loans |
| ISBN | : |
Download Housing Prices and the (in)stability of Mortgage Prepayment Models Book in PDF, ePub and Kindle
| Author | : Qiang Fu |
| Publisher | : |
| Total Pages | : 260 |
| Release | : 1998 |
| Genre | : Mortgage loans |
| ISBN | : |
Download Mortgage Curtailment and Its Roles in Mortgage Pricing Book in PDF, ePub and Kindle
| Author | : Kim Hin David HO |
| Publisher | : Partridge Publishing Singapore |
| Total Pages | : 265 |
| Release | : 2022-05-11 |
| Genre | : Business & Economics |
| ISBN | : 154376973X |
Download The Economics of the Modernisation of Direct Real Estate and the National Estate - a Singapore Perspective Book in PDF, ePub and Kindle
The Economics of The Modernisation of Direct Real Estate and The National Estate - A Singapore Perspective Chapter 1 takes a close look the vector auto regression (VAR) model, offering a dynamic system of solely direct real estate variables, for international direct real estate investors and policy makers, to enable their decision-making. Chapter 2 examines the association of residential price and aggregate consumption. A cross-spectra analysis is helps to so validate, because of its model-free characteristics Chapter 3 is concerned with the underlying housing market dynamics and housing price time-series variation, via the Singapore (SG) generalized dynamic factor model (GDFM). Chapter 4 is concerned with the in-depth market analysis and empirical analysis of the structural behavior of the important SG private housing sector. Chapter 5 acknowledges that an in-depth sector analysis and an empirical analysis are imperative to better understand the structural behavior of the SG office sector. Chapter 6 is concerned with the Main Upgrading Programme (MUP), a highly targeted subsidized Housing Development Board (HDB) policy, since the 1990s. Chapter 7 recognizes the ‘National Estate’, denoting SG’s built environment, due to physical planning, integrated urban design, and the direct influence of the SG government in providing physical infrastructure via government ministries, statutory boards and public authorities. Chapter 8 offers the book’s conclusion.
