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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 會議論文 >  Credit Risk in Residential Mortgages: Measuring the Collateral Risk with House Price Indices

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62004

    Title: Credit Risk in Residential Mortgages: Measuring the Collateral Risk with House Price Indices
    Authors: Tyler T Yang;Che-Chun Lin
    教師: 林哲群
    Date: 2006
    Publisher: The American Real Estate and Urban Economics Association
    Relation: The American Real Estate and Urban Economics Association Annual Conference,The American Real Estate and Urban Economics Association, Boston, USA,1 April 2005
    Keywords: residential
    Credit Risk
    Abstract: This paper develops a model to properly capture the house price risk at the individual house level. By decomposing the total volatility into the national volatility, regional dispersion, and house level dispersion, risk-based pricing of residential mortgage credit risk at the regional level is shown to be economically justifiable. Residential mortgages are usually considered much safer than other consumer loans due to the additional collateral protection. Most recent mortgage credit risk studies apply the option concept by treating default as a put option that allows the borrower to sell the collateral house to the lender at the price of the unpaid principal balance of the loan.
    URI: http://www.areuea.org/conferences/papers/details.phtml?id=814
    Appears in Collections:[計量財務金融學系] 會議論文

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