Mortgage Contracts Strategic Options And Stochastic Collateral

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Mortgage Contracts, Strategic Options and Stochastic Collateral

Author : Robert A. Jones
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Mortgage Contracts, Strategic Options and Stochastic Collateral by : Robert A. Jones

Download or read book Mortgage Contracts, Strategic Options and Stochastic Collateral written by Robert A. Jones and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a game-theoretic model for both the analysis and valuation of mortgage contracts in the context of an economy with complete information and complete contingent claims markets. We analyze the equilibrium strategy of the lender, who holds an option over the magnitude of mortgage credit extended per dollar of collateral offered, and the mortgagor, who holds options to default or prepay, in a class of intertemporal mortgage contracts collateralized by property evolving according to a random process which is common knowledge to both parties to the mortgage contract. Using continuous-time arbitrage valuation principles, we derive the value of the mortgage contract to both parties and show, through both analytical solutions and numerical simulations, that Markov perfect equilibria exist in which, among other properties, a lower flow of housing services accruing to the borrower, per dollar of initial house value, and a correspondingly lower rate of effective depreciation, will elicit a larger volume of funds offered by a lender; the amount of credit offered, the values of the contract to both lender and mortgagor, and the expected losses to both parties from costly bankrupty are highly sensitive to the perceived volatility of the value of the property collateralizing the mortgage, even in an economy with complete markets or risk neutrality on the parts of lender and borrower; the upper limit on mortgage credit offered by a rational lender may be a small fraction of the current fair market value of the property, regardless of the contractual yield offered by the borrower, and will decrease, at each such yield, as bankruptcy costs or housing service flows increase; and under significant but plausible values for bankruptcy and costs of liquidating property under foreclosure, the flow of mortgage credit can become negatively related to the spread of the mortgage yield over the riskless rate, with the lender preferring a lower contractual yield to a higher one.

New Directions in Real Estate Finance and Investment

Author : Piet Eichholtz
Publisher : Springer Science & Business Media
ISBN 13 : 1475759886
Total Pages : 195 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis New Directions in Real Estate Finance and Investment by : Piet Eichholtz

Download or read book New Directions in Real Estate Finance and Investment written by Piet Eichholtz and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research in real estate finance and economics has developed in an exciting way in the past twenty-five years or so. The resulting theoretical and empirical findings are shining a new light on some of the classic mysteries of the real estate markets. It is good to see that a growing proportion of this research output is concerned with contemporary problems and issues regarding the European and Far Eastern property markets. To stimulate a creative exchange of new ideas and a debate of the latest research findings regarding the global property markets, the Maastricht-Cambridge Real Estate Finance and Investment Symposium was established. This initiative aims at bringing together a number of leading researchers in the field for a short, intensive conference. The 2000 Symposium, which was hosted by Maastricht University in the Netherlands in June of that year, is the first in an annual series of such conferences, which will alternate between Maastricht University and Cambridge University. This book is a compilation of the papers originally presented at the first Maastricht-Cambridge Symposium in 2000.

Strategic Defaults on Mortgage Contracts

Author : Mariano Lanfranconi
Publisher :
ISBN 13 : 9781267437891
Total Pages : 59 pages
Book Rating : 4.4/5 (378 download)

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Book Synopsis Strategic Defaults on Mortgage Contracts by : Mariano Lanfranconi

Download or read book Strategic Defaults on Mortgage Contracts written by Mariano Lanfranconi and published by . This book was released on 2012 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study what banks can do to reduce the number of strategic defaults on mortgage contracts. In particular, using the corporate finance literature of structural models with endogenous default, I analyze what the optimal down payment levels should be and the extent to which contracts contingent on home prices can help reduce the number of defaults. In my model, the only type of default is strategic; that is, the borrower decides to default on her mortgage contract because the value of the house is significantly low relative to the outstanding debt. I find that before the 2008 financial crisis, borrowers' equity seems to have been below the optimal level. Even in a scenario with low volatility, the optimal down payment should be above 7%, whereas the levels observed prior to the crisis were between 3% and 5%. In cities such as Las Vegas and San Francico, which before the crisis had historically experienced a volatility of home prices growth rate between 8% and 9%, banks should have written mortgage contracts with a loan-to value ratio of 87%. In Los Angeles, it should have been between 84% and 80%. Contingent contracts on home prices might help reduce the number of mortgage defaults; however, increasing the level of down payments seems to be more critical. Finally, I find for all cases studied that the probability of default predicted by the model imposing the level of down payments observed before the crisis is more than six times larger relative to the optimal case. This suggests that we should be observing more people defaulting strategically compared to the number actually observed. The reason why this is not happening could be that the option value of the mortgage is actually high for several persons. In other words, the outside option when default is low.

The Theory of Credit Contracts

Author : Christian Prem
Publisher : Springer Nature
ISBN 13 : 3658293624
Total Pages : 281 pages
Book Rating : 4.6/5 (582 download)

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Book Synopsis The Theory of Credit Contracts by : Christian Prem

Download or read book The Theory of Credit Contracts written by Christian Prem and published by Springer Nature. This book was released on 2020-02-08 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book Christian Prem features new innovations on several levels. On a conceptual level he presents a complete restructuring and modularisation of the field of lending theory. On a formal level he bestows great care on providing precise definitions and promotes notational standardisation. On a technical level the development of an algorithm to solve repayment games automatically is thoroughly documented. Eventually, new theoretic results on the performance of various credit schemes are established, the quality of existing lending schemes is scrutinised and new more efficient mechanisms are presented. The content therefore inspires theorists as well as it provides well-grounded advice to practitioners in the lending industry. Altogether this thesis is a major step towards improving the quality and applicability of lending theory.

Recent Advances in Financial Engineering 2014

Author : Masaaki Kijima
Publisher : World Scientific
ISBN 13 : 9814730777
Total Pages : 237 pages
Book Rating : 4.8/5 (147 download)

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Book Synopsis Recent Advances in Financial Engineering 2014 by : Masaaki Kijima

Download or read book Recent Advances in Financial Engineering 2014 written by Masaaki Kijima and published by World Scientific. This book was released on 2016 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers presented at the 2014 workshop held in Tokyo, on 6-7 November, 2014. The chapters address state-of-the-art techniques in mathematical finance and financial engineering. The authors share ideas and information on new methods and up-to-date results of their research in these fields. This book is a must-read for researchers, practitioners, and graduate students in the fields of mathematical finance, quantitative finance and financial engineering."--Provided by publisher

The Demand for Long-term Mortgage Contracts and the Role of Collateral

Author : Lu Liu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis The Demand for Long-term Mortgage Contracts and the Role of Collateral by : Lu Liu

Download or read book The Demand for Long-term Mortgage Contracts and the Role of Collateral written by Lu Liu and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic House Appreciation and Optimal Mortgage Lending

Author : Tomasz Piskorski
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Stochastic House Appreciation and Optimal Mortgage Lending by : Tomasz Piskorski

Download or read book Stochastic House Appreciation and Optimal Mortgage Lending written by Tomasz Piskorski and published by . This book was released on 2011 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We characterize the optimal mortgage contract in a continuous time setting with stochastic growth in house price and income, costly foreclosure, and a risky borrower who requires incentives to repay his debt. We show that many features of subprime loans can be consistent with properties of the optimal contract and that, when house prices decline, mortgage modification can create value for borrowers and lenders. Our model provides a number of empirical predictions that relate the features of mortgage contracts originated in a housing boom and the extent of their modification in a slump to location and borrowers' characteristics.

Federal Register

Author :
Publisher :
ISBN 13 :
Total Pages : 484 pages
Book Rating : 4.3/5 (121 download)

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Book Synopsis Federal Register by :

Download or read book Federal Register written by and published by . This book was released on 2013-02 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Three-factor Mortgage Default Option Pricing Model with Applications to the Loan Modifications

Author : Xun Wang
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (856 download)

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Book Synopsis A Three-factor Mortgage Default Option Pricing Model with Applications to the Loan Modifications by : Xun Wang

Download or read book A Three-factor Mortgage Default Option Pricing Model with Applications to the Loan Modifications written by Xun Wang and published by . This book was released on 2011 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classic contingent-claims pricing model views the borrower's right to default on a mortgage as a put option. By defaulting on a mortgage the borrower effectively sells the property to the lender with the current value of the mortgage. The primary goal of this dissertation is to develop a three-factor structural default option pricing model to explain and evaluate the default options in the residential mortgage contracts. Home price, interest rate and net transaction cost are the three underlying factors of this model. Because a borrower can default at any time when a mortgage payment is due, the mortgage default option is by nature a path dependent Bermudan-American type option. Similar to the American type equity options, there is no analytical solution to the mortgage default option price. By applying the least-squares Monte Carlo (LSM) method to numerically evaluate the mortgage default option prices under different economic scenarios, this dissertation attempts to explain the borrowers' behaviors of strategic defaulting on their mortgages. In addition, this dissertation applies the mortgage default pricing model to an important mortgage research area - loan modifications. The effectiveness of the strategic default prevention of the payment reduction modification method and the equity sharing modification method are quantitatively compared. This dissertation also proposes a flexible parametrized loan modification framework by generalizing and extending the existing modification methods.

Advances in the Valuation and Management of Mortgage-Backed Securities

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 9781883249526
Total Pages : 340 pages
Book Rating : 4.2/5 (495 download)

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Book Synopsis Advances in the Valuation and Management of Mortgage-Backed Securities by : Frank J. Fabozzi

Download or read book Advances in the Valuation and Management of Mortgage-Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1999-01-15 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in the Valuation and Management of Mortgage-Backed Securities details the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Complete coverage includes: decomposition of mortgage spreads, MBS index replication strategies and market neutral strategies, Monte Carlo/OAS methodology, valuation of inverse floaters and ARMs, relative value analysis, and hedging mortgage instruments against level risk and yield curve risk.

The Theory of Corporate Finance

Author : Jean Tirole
Publisher : Princeton University Press
ISBN 13 : 1400830222
Total Pages : 657 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis The Theory of Corporate Finance by : Jean Tirole

Download or read book The Theory of Corporate Finance written by Jean Tirole and published by Princeton University Press. This book was released on 2010-08-26 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Magnificent."—The Economist From the Nobel Prize–winning economist, a groundbreaking and comprehensive account of corporate finance Recent decades have seen great theoretical and empirical advances in the field of corporate finance. Whereas once the subject addressed mainly the financing of corporations—equity, debt, and valuation—today it also embraces crucial issues of governance, liquidity, risk management, relationships between banks and corporations, and the macroeconomic impact of corporations. However, this progress has left in its wake a jumbled array of concepts and models that students are often hard put to make sense of. Here, one of the world's leading economists offers a lucid, unified, and comprehensive introduction to modern corporate finance theory. Jean Tirole builds his landmark book around a single model, using an incentive or contract theory approach. Filling a major gap in the field, The Theory of Corporate Finance is an indispensable resource for graduate and advanced undergraduate students as well as researchers of corporate finance, industrial organization, political economy, development, and macroeconomics. Tirole conveys the organizing principles that structure the analysis of today's key management and public policy issues, such as the reform of corporate governance and auditing; the role of private equity, financial markets, and takeovers; the efficient determination of leverage, dividends, liquidity, and risk management; and the design of managerial incentive packages. He weaves empirical studies into the book's theoretical analysis. And he places the corporation in its broader environment, both microeconomic and macroeconomic, and examines the two-way interaction between the corporate environment and institutions. Setting a new milestone in the field, The Theory of Corporate Finance will be the authoritative text for years to come.

Stochastic Models in Reliability, Network Security and System Safety

Author : Quan-Lin Li
Publisher : Springer Nature
ISBN 13 : 981150864X
Total Pages : 497 pages
Book Rating : 4.8/5 (115 download)

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Book Synopsis Stochastic Models in Reliability, Network Security and System Safety by : Quan-Lin Li

Download or read book Stochastic Models in Reliability, Network Security and System Safety written by Quan-Lin Li and published by Springer Nature. This book was released on 2019-10-21 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is dedicated to Jinhua Cao on the occasion of his 80th birthday. Jinhua Cao is one of the most famous reliability theorists. His main contributions include: published over 100 influential scientific papers; published an interesting reliability book in Chinese in 1986, which has greatly influenced the reliability of education, academic research and engineering applications in China; initiated and organized Reliability Professional Society of China (the first part of Operations Research Society of China) since 1981. The high admiration that Professor Cao enjoys in the reliability community all over the world was witnessed by the enthusiastic response of each contributor in this book. The contributors are leading researchers with diverse research perspectives. The research areas of the book iclude a broad range of topics related to reliability models, queueing theory, manufacturing systems, supply chain finance, risk management, Markov decision processes, blockchain and so forth. The book consists of a brief Preface describing the main achievements of Professor Cao; followed by congratulations from Professors Way Kuo and Wei Wayne Li, and by Operations Research Society of China, and Reliability Professional Society of China; and further followed by 25 articles roughly grouped together. Most of the articles are written in a style understandable to a wide audience. This book is useful to anyone interested in recent developments in reliability, network security, system safety, and their stochastic modeling and analysis.

Lifecycle Investing

Author : Ian Ayres
Publisher : ReadHowYouWant.com
ISBN 13 : 1458758427
Total Pages : 358 pages
Book Rating : 4.4/5 (587 download)

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Book Synopsis Lifecycle Investing by : Ian Ayres

Download or read book Lifecycle Investing written by Ian Ayres and published by ReadHowYouWant.com. This book was released on 2010-05 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.

The New Palgrave Dictionary of Economics

Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)

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Book Synopsis The New Palgrave Dictionary of Economics by :

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Derivatives

Author : Robert E. Whaley
Publisher : John Wiley & Sons
ISBN 13 : 0470086386
Total Pages : 962 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Derivatives by : Robert E. Whaley

Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.

Introduction To Derivative Securities, Financial Markets, And Risk Management, An (Second Edition)

Author : Robert A Jarrow
Publisher : World Scientific
ISBN 13 : 1944659579
Total Pages : 772 pages
Book Rating : 4.9/5 (446 download)

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Book Synopsis Introduction To Derivative Securities, Financial Markets, And Risk Management, An (Second Edition) by : Robert A Jarrow

Download or read book Introduction To Derivative Securities, Financial Markets, And Risk Management, An (Second Edition) written by Robert A Jarrow and published by World Scientific. This book was released on 2019-05-16 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by two of the most distinguished finance scholars in the industry, this introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics.With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and:Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry. Supplementary materials are available to instructors who adopt this textbook for their courses. These include:Solutions Manual with detailed solutions to nearly 500 end-of-chapter questions and problemsPowerPoint slides and a Test Bank for adoptersPRICED! In line with current teaching trends, we have woven spreadsheet applications throughout the text. Our aim is for students to achieve self-sufficiency so that they can generate all the models and graphs in this book via a spreadsheet software, Priced!

The Housing Boom and Bust

Author : Thomas Sowell
Publisher : Basic Books (AZ)
ISBN 13 : 0465018807
Total Pages : 194 pages
Book Rating : 4.4/5 (65 download)

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Book Synopsis The Housing Boom and Bust by : Thomas Sowell

Download or read book The Housing Boom and Bust written by Thomas Sowell and published by Basic Books (AZ). This book was released on 2009-05-12 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains how we got into the current economic disaster that developed out of the economics and politics of the housing boom and bust. The "creative" financing of home mortgages and "creative" marketing of financial securities based on these mortgages to countries around the world, are part of the story of how a financial house of cards was built up--and then collapsed.