Download or read book Woodhead Behavior and the Pricing of Residential Mortgages written by Yongheng Deng and published by . This book was released on 2013 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage terminations arise because borrowers exercise options. This paper investigates the non-optimal and apparently irrational behavior of those borrowers who do not terminate their mortgages even when the exercise value of the option is deeply in the money. We develop an option-based empirical model to analyze this phenomenon -- the behavior of irrational or boundedly rational ldquo;woodheads.rdquo; Of course we do not observe ldquo;woodheadsrdquo; explicitly in any body of data. Instead, we analyze correlates of unobserved heterogeneity within a large sample of mortgage holders. We develop a three-stage maximum likelihood (3SML) estimator using martingale transforms to estimate the competing risks of mortgage prepayment and default, recognizing unobserved heterogeneity which in part generates the behavior of ldquo;woodheads.rdquo; The extended model is clearly superior to alternatives on statistical grounds. We then analyze the economic implications of this more powerful model. We analyze the predictions of the model for the valuation and pricing of mortgage pools and mortgage-backed securities. Based upon an extensive Monte Carlo simulation, we find that the 3SML model yields prices for seasoned mortgage pools that deviate quite substantially from more primitive estimates. The results indicate the empirical importance of heterogeneity and the implications of non-optimizing behavior for the valuation and pricing of mortgages and mortgage-backed securities.

Download or read book Mortgage Markets Worldwide written by Danny Ben-Shahar and published by John Wiley & Sons. This book was released on 2009-01-28 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a theoretical and empirical evaluation ofdifferent housing finance systems, presenting a collection ofstudies that describe various aspects of selected mortgage marketsaround the world. The uniqueness of the chosen markets lies in thefact that they represent not only different regions around theglobe (Africa, the Middle East, Asia, and Eastern Europe), but alsounderstudied markets in different stages of economic and financialdevelopment. This book examines questions relating to housingfinance efficiency and contract heterogeneity. In addition, itanalyses the securitization experiences in these countries toprovide lessons on how mortgage markets are integrated with capitalmarkets and how particular institutional framework interacts withmortgage markets. Short reviews are provided for each of the selected mortgagemarkets. The review will include institutional aspects of themarkets such as: the size and structure of the market (includingflows and accumulation of funds); a description of the competitionand a presentation of the major competitors (including marketshare, major financial measures, etc.); profitability in themarket, trends, structural changes, the major mortgage instrumentsand their market share, special tax issues, the role of thegovernment in the market, defaults, prepayments, mortgageinsurance, and major regulatory issues. The analysis explores the major existing problems in the mortgagemarket of each country, the current steps adopted to solve theseproblems, possible propositions for dealing with the major issuesin the future, and the implied future developments anticipated inthe market.

Download or read book Direct Real Estate Duration Risk Total Risk and the Residential Mortgage Life Insurance Rmli written by Kim Hin David HO and published by Partridge Publishing Singapore. This book was released on 2021-08-31 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 compares the direct real estate (DRE) duration Beta estimates with the time-varying Beta regression estimates, for each of the three prime DRE sectors. Except for the prime office sector, both the duration Beta and the time-varying Beta profiles follow the same general trend. The luxury residential sector and the prime office sector are inclined to move in opposite direction. However, the prime office sector shows greater volatility in the duration Beta compared with the time-varying Beta. Chapter 2 demonstrates overall that in the presence of a set of limited available information comprising a direct real estate (DRE) asset’s passing (annual) rent, the current rental value, the expected yields and the yield-growth movements from a DRE sector analysis, conducted by a DRE consultancy or service provider, the risk-free rate and the lease maturity period; it is readily feasible to model and rigorously estimate several key risk measures and the expected total returns (TRs). Such a model and its estimations can be achieved through an ex-ante integrated DRE risk-measure model, which innovatively combines the bond duration-convexity risk conception, the Beta distribution function, and the DRE equivalent (rental) yield valuation conception. Finally, Chapter 3 looks at the structural and behavioural experience of the prepayment risk for the underlying mortgages of China’s rapidly developing residential mortgage life insurance (RMLI) market. A reliable private prepayment dataset for China’s commercial center - the city of Shanghai - is deployed. Chapter 3 estimates the relationship between RMLI’s underlying mortgage prepayment risk and the observable macroeconomic factors, loan specific factors and borrower specific characteristics. A Cox proportional hazard model is adopted for this purpose. Chapter 4 summarises the book’s findings and highlights the contributions and recommendations made

Download or read book Advances in Mathematical Economics Volume 8 written by S. Kusuoka and published by Springer Science & Business Media. This book was released on 2006-01-18 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lot of economic problems can formulated as constrained optimizations and equilibration of their solutions.Various mathematical theories have been supplying economists with indispensable machineries for these problems arising in economic theory. Conversely, mathematicians have been stimulated by various mathematical difficulties raised by economic theories. The series is designed to bring together those mathematicians who were seriously interested in getting new challenging stimuli from economic theories with those economists who are seeking for effective mathematical tools for their researchers.

Download or read book Decomposing the Foreclosure Crisis written by Kristopher Gerardi and published by DIANE Publishing. This book was released on 2010-06 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimates a model of foreclosure using a data set that includes every residential mortgage, purchase-and-sale, and foreclosure transaction in Mass. from 1989 to 2008. Addresses the identification issues related to the estimation of the effects of house prices on residential foreclosures. Studies the dramatic increase in foreclosures that occurred in Mass. between 2005 and 2008 and concludes that the foreclosure crisis was primarily driven by the severe decline in housing prices that began in the latter part of 2005, not by a relaxation of underwriting standards. Relaxed underwriting standards severely aggravated the crisis by creating a class of homeowners who were particularly vulnerable to the decline in prices. Charts and tables.

Download or read book Low Income Homeownership written by Nicolas P. Retsinas and published by Brookings Institution Press. This book was released on 2004-05-28 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Brookings Institution Press and Harvard University Joint Center for Housing Studies publication A generation ago little attention was focused on low-income homeownership. Today homeownership rates among under-served groups, including low-income households and minorities, have risen to record levels. These groups are no longer at the margin of the housing market; they have benefited from more flexible underwriting standards and greater access to credit. However, there is still a racial/ethnic gap and the homeownership rates of minority and low-income households are still well below the national average. This volume gathers the observations of housing experts on low-income homeownership and its effects on households and communities. The book is divided into five chapters which focus on the following subjects: homeownership trends in the 1990s; overcoming borrower constraints; financial returns to low-income homeowners; low-income loan performance; and the socioeconomic impact of homeownership.

Download or read book Asset Pricing Implications of Hedging in Real Estate Markets written by Peng Liu and published by . This book was released on 2007 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Mathematical Economics written by Shigeo Kusuoka and published by Springer Science & Business Media. This book was released on 2013-03-08 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lot of economic problems can be formulated as constrained optimizations and equilibration of their solutions. Various mathematical theories have been supplying economists with indispensable machineries for these problems arising in economic theory. Conversely, mathematicians have been stimulated by various mathematical difficulties raised by economic theories. The series is designed to bring together those mathematicians who are seriously interested in getting new challenging stimuli from economic theories with those economists who seek effective mathematical tools for their researchers. The editorial board of this series comprises the following prominent economists and mathematicians: Managing Editors: S. Kusuoka (Univ. Tokyo), T. Maruyama (Keio Univ.); Editors: R. Anderson (U.C. Berkeley), C. Castaing (Univ. Montpellier), F. H. Clarke (Univ. Lyon I), G. Debreu (U.C. Berkeley), E. Dierker (Univ. Vienna), D. Duffie (Stanford Univ.), L.C. Evans (U.C. Berkeley), T. Fujimoto (Okayama Univ.), J.-M. Grandmont (CREST-CNRS), N. Hirano (Yokohama National Univ.), L. Hurwicz (Univ. of Minnesota), T. Ichiishi (Ohio State Univ.), A. Ioffe (Israel Institute of Technology), S. Iwamoto (Kyushu Univ.), K. Kamiya (Univ. Tokyo), K. Kawamata (Keio Univ.), N. Kikuchi (Keio Univ.), H. Matano (Univ. Tokyo), K. Nishimura (Kyoto Univ.), M. K. Richter (Univ. Minnesota), Y. Takahashi (Kyoto Univ.), M. Valadier (Univ. Montpellier II), M. Yano (Keio Univ).

Download or read book Mortgage Pricing and Prepayment Behavior written by Yuming Fu and published by . This book was released on 1989 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Business and Financial Conditions in the Third Federal Reserve District written by and published by . This book was released on 2005 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economic Perspectives written by and published by . This book was released on 2008 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Business Review written by and published by . This book was released on 2006 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Test of a Two factor Mortgage Valuation Model written by Chris Downing and published by . This book was released on 2003 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Costly Investment Decisions and Portfolio Optimization written by Barbara A. Bukhvalova and published by . This book was released on 2006 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Capital Market Instruments written by M. Choudhry and published by Springer. This book was released on 2009-11-27 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed-income instruments. Fundamental concepts in equity market analysis, foreign exchange and money markets are also covered to provide a comprehensive overview. Analysis and valuation techniques are given for practical application.

Download or read book Restoring Financial Stability written by New York University Stern School of Business and published by John Wiley & Sons. This book was released on 2009-03-23 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: An insightful look at how to reform our broken financial system The financial crisis that unfolded in September 2008 transformed the United States and world economies. As each day's headlines brought stories of bank failures and rescues, government policies drawn and redrawn against the backdrop of an historic Presidential election, and solutions that seemed to be discarded almost as soon as they were proposed, a group of thirty-three academics at New York University Stern School of Business began tackling the hard questions behind the headlines. Representing fields of finance, economics, and accounting, these professors-led by Dean Thomas Cooley and Vice Dean Ingo Walter-shaped eighteen independent policy papers that proposed market-focused solutions to the problems within a common framework. In December, with great urgency, they sent hand-bound copies to Washington. Restoring Financial Stability is the culmination of their work. Proposes bold, yet principled approaches-including financial policy alternatives and specific courses of action-to deal with this unprecedented, systemic financial crisis Created by the contributions of various academics from New York University's Stern School of Business Provides important perspectives on both the causes of the global financial crisis as well as proposed solutions to ensure it doesn't happen again Contains detailed evaluations and analyses covering many spectrums of the marketplace Edited by Matthew Richardson and Viral Acharya, this reliable resource brings together the best thinking of finance and economics from the faculty of one of the top universities in world.

Download or read book International Financial Management written by Jeff Madura and published by Cengage AU. This book was released on 2018-01-01 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: Equip your students for success in international finance with the unrivalled depth of theory and practical applications presented in Madura, Hoque and Krishnamurti's INTERNATIONAL FINANCIAL MANAGEMENT, Asia-Pacific 1st edition. This APAC edition builds on the fundamental principles of corporate finance to provide the timely information and contemporary insights your students need to prosper in today's global business environment. With the original US edition being well known for its inviting reader-friendly style and clear explanations, this APAC 1st edition introduces international finance with a focus on the important role of modern multinational corporations in global commerce within a strong APAC context. Using a strong corporate perspective, it discusses a wide range of managerial topics and emphasises the most recent changes in the international environment. Relevant examples, instructive diagrams, self-tests, and other learning features provide hands-on experience to help your students develop the skills they need to effectively manage in contemporary practice.