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Housing Price Dynamics And The Valuation Of Mortgage Default Options
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Book Synopsis Mortgage Default and Mortgage Valuation by : John Krainer
Download or read book Mortgage Default and Mortgage Valuation written by John Krainer and published by DIANE Publishing. This book was released on 2010-10 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Journal of Housing Economics written by and published by . This book was released on 1996 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Economics of the Modernisation of Direct Real Estate and the National Estate - a Singapore Perspective by : Kim Hin David HO
Download or read book The Economics of the Modernisation of Direct Real Estate and the National Estate - a Singapore Perspective written by Kim Hin David HO and published by Partridge Publishing Singapore. This book was released on 2022-05-11 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Land Management & Economics by : Kim Hin Ho
Download or read book Land Management & Economics written by Kim Hin Ho and published by Partridge Publishing Singapore. This book was released on 2020-07-21 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with a unique, overall land policy optimization model, under active government policy, resulting in the sustainable effectiveness and efficiency of land policy. Such a model distinguishes it from the highly specific urban-planning land use optimization model, meant for optimizing land use specification, strategic land uses, land use restrictions and control, like zoning. Policy input is concerned with a hierarchical and structural definition of policy while ‘Additionality’ looks at land-policy output (outcome) variables, impacting broader land policy efficiency and effectiveness goals, their associated output indicators and the interaction with the macroeconomy. Long run urban policy-macroeconomy interaction is modeled in a contemporaneous cointegration model estimation, involving different sectors of the economy. The model looks at the equilibrium and optimal land-using economic activities. A dynamic interaction of land policy outcomes and their economic implications is discussed via cointegration tests and modelling. This book develops a rigorous system-dynamics-based computable general equilibrium model for direct real estate market uncertainty i.e. the frequent mismatch between office demand and supply under the impact of limited land constraint, the domestic common stock market, the macro economy and macroeconomic policy. Such dynamic interaction is structured under the demand-side and supply-side aspects. The book looks at the binomial option-pricing model by Cox, Ross and Rubinstein, to model the risk-neutral process for short term interest rates, common stock prices and Housing & Development Board (HDB) resale flat prices. Singapore’s Main Upgrading Program (MUP) is a heavily subsidized and highly targeted. Since 1992, the HDB has budgeted some S$3 billion to finance the MUP policy. A positive impact is the asset value enhancement of the HDB flats within the upgraded precincts. MUP subsidies vary significantly with the corresponding option premium. A 3-Room HDB flat owner is more inclined to opt for upgrading while the option premium is deemed to be less attractive for upgrading by the 4-Room HDB flat owner. Residents’ satisfaction level with town council (TC) services are examined, under different political parties. The concern is to ascertain a housing finance model, which analyzes the affordability of household borrowers for purchasing resale public housing. With Central Provident funds (CPF) usage, total interest paid over the loan life is significantly reduced. CPF as a financial buffer significantly reduce default risks for lender and household borrower.
Book Synopsis Housing the Nation - a Singapore Policy Story by : Kim Hin / David Ho
Download or read book Housing the Nation - a Singapore Policy Story written by Kim Hin / David Ho and published by Partridge Publishing Singapore. This book was released on 2020-12-17 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 takes a close look at a unique and state-of-the-art dynamic, structural public housing macroeconomic model (DSPHM), based on an open economy for several key macroeconomic variables, actual and expected, as well as the demand for new HDB flats sold. This Chapter readily adopts the DSPHM for simulating two scenarios, namely a “no change” first scenario and a public housing “deregulation” second scenario. Chapter 2 explores the relationship between several economic factors and the demand for public housing in Singapore and Hong Kong, deploying the innovative and versatile system dynamics model, to shed better understanding on the policy implications of assisted ownership housing. The Chapter assesses the demand for new flats of the Singapore and Hong Kong economies, under certain macroeconomic policy changes, suitable for their unique situations. Chapter 3 is concerned with the underlying structural relationships that affect Singapore’s public housing policy to potentially privatize the HDB concessionary-rate mortgages for HDB homebuyers. Such a potential privatization infuses and sustains price competitiveness among the domestic private banks in Singapore, and lead to improved efficiency among them as well as the Singapore economy at large. Chapter 4 is concerned with the binomial option-pricing model, proposed by Cox, Ross and Rubinstein (1979), which is appropriate to represent the movement of the underlying HDB resale flat prices, subject to private market forces in HDB’s large scale public housing secondary resale market. The HDB Main Upgrading Program (MUP) is a heavily subsidized and highly targeted public housing policy. Since its inception in 1992, the HDB has budgeted some S$3 billion to finance the MUP policy. Chapter 5 recognizes housing affordability to be always an issue of concern to many Singaporean homebuyers because shelter forms one of the basic life necessities. The corresponding private residential market in Singapore offers quality and premium private residential accommodation for homebuyers, who prefer the private residential market. The appropriate affordability model is a multi-factor housing affordability index (HAI) model, which considers the ability to provide down payment and to service the mortgage taken up. Lastly, Chapter 6 offers the book’s conclusion.
Download or read book Housing Finance Review written by and published by . This book was released on 1982 with total page 834 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Bias of the RSR Estimator and the Accuracy of Some Alternatives by : William N. Goetzmann
Download or read book The Bias of the RSR Estimator and the Accuracy of Some Alternatives written by William N. Goetzmann and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the implications of cross-sectional heteroskedasticity in repeat sales regression (RSR). RSR estimators are essentially geometric averages of individual asset returns because of the logarithmic transformation of price relatives. We show that the cross sectional variance of asset returns affects the magnitude of bias in the average return estimate for that period, while reducing the bias for the surrounding periods. It is not easy to use an approximation method to correct the bias problem. We suggest a maximum-likelihood alternative to the RSR that directly estimates index returns that are analogous to the RSR estimators but are arithmetic averages of individual returns. Simulations show that these estimators are robust to time-varying cross-sectional variance and may be more accurate than RSR and some alternative methods of RSR.
Book Synopsis International Encyclopedia of Housing and Home by :
Download or read book International Encyclopedia of Housing and Home written by and published by Elsevier. This book was released on 2012-10-09 with total page 3870 pages. Available in PDF, EPUB and Kindle. Book excerpt: Available online via SciVerse ScienceDirect, or in print for a limited time only, The International Encyclopedia of Housing and Home, Seven Volume Set is the first international reference work for housing scholars and professionals, that uses studies in economics and finance, psychology, social policy, sociology, anthropology, geography, architecture, law, and other disciplines to create an international portrait of housing in all its facets: from meanings of home at the microscale, to impacts on macro-economy. This comprehensive work is edited by distinguished housing expert Susan J. Smith, together with Marja Elsinga, Ong Seow Eng, Lorna Fox O'Mahony and Susan Wachter, and a multi-disciplinary editorial team of 20 world-class scholars in all. Working at the cutting edge of their subject, liaising with an expert editorial advisory board, and engaging with policy-makers and professionals, the editors have worked for almost five years to secure the quality, reach, relevance and coherence of this work. A broad and inclusive table of contents signals (or tesitifes to) detailed investigation of historical and theoretical material as well as in-depth analysis of current issues. This seven-volume set contains over 500 entries, listed alphabetically, but grouped into seven thematic sections including methods and approaches; economics and finance; environments; home and homelessness; institutions; policy; and welfare and well-being. Housing professionals, both academics and practitioners, will find The International Encyclopedia of Housing and Home useful for teaching, discovery, and research needs. International in scope, engaging with trends in every world region The editorial board and contributors are drawn from a wide constituency, collating expertise from academics, policy makers, professionals and practitioners, and from every key center for housing research Every entry stands alone on its merits and is accessed alphabetically, yet each is fully cross-referenced, and attached to one of seven thematic categories whose ‘wholes' far exceed the sum of their parts
Book Synopsis Equilibrium Mortgage Default Pricing with Non-optimal Borrower Behavior by : Timothy J. Riddiough
Download or read book Equilibrium Mortgage Default Pricing with Non-optimal Borrower Behavior written by Timothy J. Riddiough and published by . This book was released on 1990 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Complex Mortgages (CM) by : Gene Amromin
Download or read book Complex Mortgages (CM) written by Gene Amromin and published by DIANE Publishing. This book was released on 2011 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: CM became a popular borrowing instrument during the bullish housing market of the early 2000s but vanished rapidly during the subsequent downturn. These non-traditional loans (interest only, negative amortization, and teaser mortgages) enable households to postpone loan repayment compared to traditional mortgages and hence relax borrowing constraints. But, they increase household leverage and heighten dependence on mortgage refinancing. CM were chosen by prime borrowers with high income levels seeking to purchase expensive houses relative to their incomes. Borrowers with CM experience substantially higher ex post default rates than borrowers with traditional mortgages with similar characteristics. Illus. This is a print on demand report.
Book Synopsis Housing Prices and the (in)stability of Mortgage Prepayment Models by : Joe P. Mattey
Download or read book Housing Prices and the (in)stability of Mortgage Prepayment Models written by Joe P. Mattey and published by . This book was released on 1998 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Household Credit Usage by : B. W. Ambrose
Download or read book Household Credit Usage written by B. W. Ambrose and published by Springer. This book was released on 2007-10-29 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: In response to growing interest in household finance, this collection of essays with a foreword by John Y. Campbell, studies household and consumer use of credit instruments. It shows how individual consumers and households utilize various credit alternatives in managing their consumption and savings and suggests areas for future research.
Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee
Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Download or read book Housing Finance Review written by and published by . This book was released on 1989 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mortgage Valuation Models by : Andrew Davidson
Download or read book Mortgage Valuation Models written by Andrew Davidson and published by Oxford University Press. This book was released on 2014-05-22 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Global Housing Markets by : Ashok Bardhan
Download or read book Global Housing Markets written by Ashok Bardhan and published by John Wiley & Sons. This book was released on 2011-10-27 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: A global look at the reasons behind the recent economic collapse, and the responses to it The speculative bubble in the housing market began to burst in the United States in 2007, and has been followed by ruptures in virtually every asset market in almost every country in the world. Each country proposed a range of policy initiatives to deal with its crisis. Policies that focused upon stabilizing the housing market formed the cornerstone of many of these proposals. This internationally focused book evaluates the genesis of the housing market bubble, the global viral contagion of the crisis, and the policy initiatives undertaken in some of the major economies of the world to counteract its disastrous affects. Unlike other books on the global crisis, this guide deals with the housing sector in addition to the financial sector of individual economies. Countries in many parts of the world were players in either the financial bubble or the housing bubble, or both, but the degree of impact, outcome, and responses varied widely. This is an appropriate time to pull together the lessons from these various experiences. Reveals the housing crisis in the United States as the core of the meltdown Describes the evolution of housing markets and policies in the run-up to the crisis, their impacts, and the responses in European and Asian countries Compares experiences and linkages across countries and points to policy implications and research lessons drawn from these experiences Filled with the insights of well-known contributors with strong contacts in practice and academia, this timely guide discusses the history and evolution of the recent crisis as local to each contributor's part of the world, and examines its distinctive and common features with that of the U.S., the trajectory of its evolution, and the similarities and differences in policy response.
Author :United States. Congress. House. Committee on Financial Services. Subcommittee on Housing and Community Opportunity Publisher : ISBN 13 : Total Pages :216 pages Book Rating :4.0/5 ( download)
Book Synopsis Examining the Making Home Affordable Program by : United States. Congress. House. Committee on Financial Services. Subcommittee on Housing and Community Opportunity
Download or read book Examining the Making Home Affordable Program written by United States. Congress. House. Committee on Financial Services. Subcommittee on Housing and Community Opportunity and published by . This book was released on 2009 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
