National Tsing Hua University Institutional Repository:Default Risk and Relative Values of Exotic Mortgage Products: A Multi-Factor Simulation Approach
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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 >  Default Risk and Relative Values of Exotic Mortgage Products: A Multi-Factor Simulation Approach


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    题名: Default Risk and Relative Values of Exotic Mortgage Products: A Multi-Factor Simulation Approach
    作者: Tyler Yang;Che-Chun Lin;Man Cho
    教師: 林哲群
    日期: 2008
    出版者: The American Real Estate and Urban Economics Association
    關聯: The American Real Estate and Urban Economics Association Annual Conference, New Orleans, USA,The American Real Estate and Urban Economics Association,28 March 2007
    关键词: Exotic
    Mortgage
    ARMs
    摘要: We are able to confirm the intuition that Option ARMs with the minimum monthly payments is by far the most risky product regardless of which risk measure is used. Under stress economic scenarios, the relative riskiness of Option ARMs can increase to about six-fold from its level under the normal economy, much more severe than the increases observed for other products. Although they show similar level of willingness to pay problem, ARMs with caps and teaser rates show consistently higher probability of ability to pay problem than comparable ARMs without teaser rate.
    URI: http://www.areuea.org/conferences/papers/details.phtml?id=1379
    http://www.areuea.org/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62009
    显示于类别:[計量財務金融學系] 會議論文

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