On non-negative equity guarantee calculations with macroeconomic variables related to house prices

被引：4

作者：

Badescu, Alexandru ^{[1
]}

Quaye, Enoch ^{[2
]}

Tunaru, Radu ^{[3
]}

机构：

[1] Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada

[2] Univ Bristol, Sch Accounting & Finance, 15-19 Tyndalls Pk Rd, Bristol BS8 1PQ, England

[3] Univ Sussex, Univ Sussex Business Sch, Brighton BN 9SL, England

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2022年 / 103卷

基金：

加拿大自然科学与工程研究理事会;

关键词：

House price risk; Non -negative equity guarantee; GARCH-MIDAS; Exponential linear pricing kernel; Equity release mortgages; Derivatives pricing; STOCK-MARKET VOLATILITY; REVERSE MORTGAGES; OPTION VALUATION; CARE COSTS; RISK; SECURITISATION; LONGEVITY; MODEL;

D O I：

10.1016/j.insmatheco.2022.01.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article investigates the impact of macroeconomic fundamentals on the valuation of non-negative equity guarantee (NNEG) of equity release mortgages. The house price returns are modeled within the family of multiplicative volatility processes using a two-component GARCH-MIDAS model. The pricing framework is constructed based on a general exponential linear pricing kernel, and the risk -neutral dynamics are derived assuming an autoregressive structure for the macroeconomic variables. Our numerical results indicate that the addition of macroeconomic variables improves the predictive performance of the house price returns and have a significant effect on the NNEG valuation. (c) 2022 Elsevier B.V. All rights reserved.

引用

页码：119 / 138

页数：20

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