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Title:

Valuation of Reverse Mortgages under (limited) Default Risk

Document type:
Zeitschriftenaufsatz
Author(s):
Kolbe, A.; Zagst, R.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
In this paper we develop a consistent valuation framework for reverse mortgages based on reduced-formintensity models as used in credit risk modelling. Within our modelling framework we explicitly calculate the probability that the total loan amount exceeds the house value at ter- mination of the contract and derive the maximum payment(s) which can be made to the homeowner under certain constraints. We apply our results to data from the German market and discuss implications for the design of re...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
European Journal of Finance
Journal listet in FT50 ranking:
nein
Year:
2010
Journal volume:
16
Journal issue:
4
Pages contribution:
305-327
Reviewed:
ja
Language:
en
Status:
Erstveröffentlichung
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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