集团金融机构风险管理.pptVIP

Numerical Analysis Conclusion This article contributes to the literature in the following ways. Dynamic Jump ARMA-GARCH model can better capture the dynamics of house price return. The estimation of the proposed jump ARMA-GARCH model is carried out and presents a better fitting result compared with various house price return models proposed in the literature. Conclusion This article contributes to the literature in the following ways. The risk neutral pricing framework for the jump ARMA-GARCH model is derived using the conditional Esscher transform technique. Numerical result shows that incorporating the jump effect in house price returns is important for pricing NNEG. The End.Thanks! * * * 2006.9.2Lecture 1 * * * * 2006.9.2Lecture 1 Pricing No-Negative-Equity-Guarantee for Equity Release Products under a Jump ARMA-GARCH Model Presenter: Sharon Yang Co-authors: Chuang-Chang Chang Jr-Wei Huang National Central University, Taiwan Outline Introduction. Investigation of House Price Return Dynamics With Jumps. Valuation Framework for No-Negative-Equity-Guarantee. Numerical Analysis. Conclusion. Introduction A kind of home equity conversion that allows the elder persons to borrow money with their home as the collateral . The loans accrue interest are only repaid once the people is died or leave the house. Such products are needed for “equity rich and cash poor” persons. For example: a rolled-up mortgage * Loan Period Die(x+s) Age x What are Equity Releasing Products? The Risk from Lender Prospective The loan value may exceed the value of the property. How to deal with such risk? Using Insurance. Ex: HECM program in the united states. Securitization Writing a no-negative-equity-guarantee(NNEG) Payoffs: ? an European put option on the mortgaged property Purpose of this study Can Black Sholes option pricing formula apply to value NNEG? ?No! We built up a general framework which considers the dynamics of the house p