منابع مشابه
Risk Based Capital and Pricing for Reverse Mortgages Revisited
Demographic change is happening in developed countries with an ageing of the population. Individuals are financing retirement increasingly from superannuation savings and less from government pension support. A major asset that individuals have to fund their retirement is the residential home. The reverse mortgage is a product that allows retirees to access the value of their home to provide fi...
متن کاملPricing Credit Default Swaps Under Default Correlations and Counterparty Risk ∗
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure and counterparty risk into consideration. We have demonstrated our affine model not only combines the existing structural models and intensity...
متن کاملDefault Risk, Asset Pricing and Equity Premium∗
The evaluation and control of an agent‘s debt has become a major issue in economics. In this paper we focus on firms and study credit risk, debt control and asset valuation of firms. We demonstrate that firm specific credit constraints and endogenous risk premia, based on collateralized borrowing, affect the asset value of the firm and, in turn, the collateral value of the firm. In order to exp...
متن کاملDefault Risk, Asset Pricing and Debt Control
The pricing and control of firms’ debt has become a major issue since Merton’s (1974) seminal paper. Yet, Merton as well as other recent theories presume that the asset value of the firm is independent of the debt of the firm. However, when using debt finance firms may have to pay a premium for an idiosyncratic default risk and may face debt constraints. We demonstrate that firm specific debt c...
متن کاملThe Determinants of Attitudes towards Strategic Default on Mortgages
We use survey data to study American households’ propensity to default when the value of their mortgage exceeds the value of their house even if they can afford to pay their mortgage (strategic default). The cost of defaulting strategically increases in wealth, but at a decreasing rate. It is driven both by pecuniary and non pecuniary factors, such as views about fairness and morality. Exposure...
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ژورنال
عنوان ژورنال: Real Estate Economics
سال: 1985
ISSN: 1080-8620,1540-6229
DOI: 10.1111/1540-6229.00354