Risk-based Pricing of Interest Rates in Household Loan Markets
نویسندگان
چکیده
منابع مشابه
Interest Rates in Trade Credit Markets
There is evidence that suppliers have private information about their customers’ credit risk. Yet, interest rates in trade credit markets are usually industry-not-firm specific. Why? If the demand for intermediate products is inelastic, suppliers should raise interest rates until they reach their customers’ outside option. By definition, this outside option cannot reflect information that is pr...
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Many financial products contain prepayment options. Loan contracts are often structured to provide the borrower with the option to prepay the loan at any time, or on specific dates, prior to the maturity date of the loan. These options are important aspects of these financial products. The most commonly encountered investment product with these feature is the mortgage backed security. Investmen...
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We consider a model of a nancial market where the volatility of the interest-rate is not known exactly, but rather it is assumed to lie within two a-priori known bounds. These bounds may represent for instance the extreme values of the implied volatility of liquidly traded options. In this model, the interest-rate process consistent with no-arbitrage and with the initial term-structure of forwa...
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Recent events have stimulated interest in the joint behavior of prices and quantities in credit markets. Data sources such as the Federal Reserve Board’s Flow of Funds Accounts (FFA) provide statistics on a rich set of credit market instruments. However, it is challenging to inter pret such data using economic models that speak to the allocation of risk across agents, such as households or int...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.484522