English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88668/118332 (75%)
Visitors : 23510536      Online Users : 642
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/116395
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/116395


    Title: Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market
    Authors: 林士貴
    Chuang, Ming-Che
    Yang, Wan-Ru
    Chen, Ming-Chi
    Lin, Shih-Kuei
    Contributors: 金融系
    Keywords: MI contracts;Markov switching model;housing price cycles;jump risks;prepayment risks
    Date: 2018
    Issue Date: 2018-03-21 17:31:51 (UTC+8)
    Abstract: Previous studies have investigated the determinants of housing price cycles in the housing market; however, we observed the phenomenon of housing price jumps in the 2007 subprime crisis. This paper presents a discussion on the housing price cycle and abnormal price jumps to describe the behavior of housing prices in the United Kingdom. The empirical results show that the impact factors of housing cycles are market risk and the switching factor. Furthermore, the impact factors of jump risks include the bursting of the housing bubble and financial crises. Therefore, in this paper, we employ the Markov switching model with jump risks to value the MI contracts and analyze the influences of housing price cycles, jump risks, risks of market interest rate, and the prepayment risks on MI premiums. The results of sensitivity analysis show that more volatile housing price index returns, as well as longer periods of higher volatility in housing prices, raise MI premiums. Moreover, the MI premium is positively related to the absolute value of the average jump amplitude and the shock frequency of abnormal events. There is the tradeoff between the market interest rate and the prepayment risk. The influences of market interest rate are different on MI premium with/without prepayment risks.
    Relation: EUROPEAN JOURNAL OF FINANCE, 24(11), 909-943
    Data Type: article
    DOI 連結: https://doi.org/10.1080/1351847X.2017.1359199
    DOI: 10.1080/1351847X.2017.1359199
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML255View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback