Valuing mortgage insurance contracts in emerging market economies

被引：37

作者：

Bardhan, A ^{[1
]}

Karapandza, R

Urosevic, B

机构：

[1] Univ Calif Berkeley, Haas Sch Business, Fisher Ctr Real Estate & Urban Econ, Berkeley, CA 94720 USA

[2] Univ Pompeu Fabra, Dept Econ & Business, Barcelona 08005, Spain

[3] S European Ctr Contemporary Finance, Belgrade, Serbia Monteneg

[4] Inst Phys, Comp Sci Lab, Belgrade, Serbia Monteneg

[5] Univ Belgrade, Fac Econ, Belgrade 11000, Serbia Monteneg

来源：

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS | 2006年 / 32卷 / 01期

关键词：

mortgage insurance; default rate; prepayment rate; black-scholes formula; emerging markets;

D O I：

10.1007/s11146-005-5175-y

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a new option-based method for the valuation of mortgage insurance contracts in closed form in an economy where agents are risk neutral. While the proposed valuation method is general and can be used in any market, it may be particularly useful in emerging market economies where other existing methods may be either inappropriate or are too difficult to implement because of the lack of relevant data. As an application, we price a typical Serbian government-backed mortgage insurance contract.

引用

页码：9 / 20

页数：12

共 22 条

[1] Optimal put exercise: An empirical examination of conditions for mortgage foreclosure [J].