无负资产担保和股权释放抵押贷款估值的市场一致性方法

IF 1.3 4区经济学 Q3 DEMOGRAPHY

Journal of Demographic Economics Pub Date : 2023-08-10 DOI:10.1017/dem.2023.6

D. Buckner, K. Dowd, H. Hulley

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引用次数: 0

摘要

摘要本文为无负资产担保和股权释放抵押贷款的估值提供了一种新的市场一致性方法。本文为波动性投入的估计提供了一种新的方法。拟议的波动性方法产生了一个波动性期限结构，该结构取决于借款人的年龄和性别。根据Black’76看跌期权定价公式和基于M5 Cairns–Blake–Dowd死亡率模型的死亡率预测提供了说明性估值。研究结果显示出对行业实践和审慎监管的有趣影响。

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A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages

Abstract This paper provides a new market consistent approach to the valuation of no negative equity guarantees and equity release mortgages. The paper provides a new approach to the estimation of volatility inputs. The proposed approach to volatility produces a volatility term structure that is dependent on the age and gender of the borrower. Illustrative valuations are provided based on the Black ’76 put pricing formula and mortality projections based on the M5 Cairns–Blake–Dowd mortality model. Results show interesting ramifications for industry practice and prudential regulation.

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来源期刊

Journal of Demographic Economics Multiple-

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： Demographic variables such as fertility, mortality, migration and family structures notably respond to economic incentives and in turn affect the economic development of societies. Journal of Demographic Economics welcomes both empirical and theoretical papers on issues relevant to Demographic Economics with a preference for combining abstract economic or demographic models together with data to highlight major mechanisms. The journal was first published in 1929 as Bulletin de l’Institut des Sciences Economiques. It later became known as Louvain Economic Review, and continued till 2014 to publish under this title. In 2015, it moved to Cambridge University Press, increased its international character and changed its focus exclusively to demographic economics.