Pricing and risk analysis of reverse mortgage based on stochastic interest rate

被引：0
|
作者：
Xu C. [1 ]
Sun Y. [1 ]
Liao L. [1 ]
机构：
[1] Institution of Risk Management, School of Mathematical Sciences, Tongji University, Shanghai
来源：
Tongji Daxue Xuebao/Journal of Tongji University | 2017年 / 45卷 / 01期
关键词：
Reverse mortgage; Stochastic interest rate model; Vector autoregressive model;
D O I：
10.11908/j.issn.0253-374x.2017.01.021
中图分类号：
学科分类号：
摘要：
This paper develops and implements a dynamic house pricing model and stochastic interest rate model for Lump sum pricing model and equal payment pricing model of reverse mortgage products for the empirical research of Shanghai. A vector autoregressive model(VAR) for economic variables including house prices index, CPI and GDP based on the data in Shanghai is used to better capture the interrelationship between economic variables and simple prediction. The Nowman's CKLS model is also used to represent the stochastic interest rate. The present value of net pay off of Lump sum reverse mortgage to assets profitability is computed. The commonly risk measure VaR(Value at Risk) is used to analyze risk in order to give an index to solvency and liquidity. © 2017, Editorial Department of Journal of Tongji University. All right reserved.
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页码：144 / 151
页数：7
相关论文
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