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    政大機構典藏 > 商學院 > 會計學系 > 期刊論文 >  Item 140.119/64061
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/64061

    Title: The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index
    Other Titles: 房價循環下不動產抵押貸款保險之評價:房價指數之實證
    Authors: 林士貴;蔡怡純;陳明吉;莊明哲
    Contributors: 金融系
    Keywords: 報酬不對稱;EM演算法;房價指數;馬可夫狀態轉換模型;不動產抵押貸款保險契約;波動叢集
    Asymmetry;Expectation-maximization algorithm;Housing price index;Markov regime-switching model;Mortgage insurance contracts;Volatility clustering
    Date: 2012-09
    Issue Date: 2014-02-20 14:41:52 (UTC+8)
    Abstract: Mortgage insurance (MI) is a contract under which an insurance company has an upperlimit to compensate the default losses of mortgage banks or investors. Previous studiesevaluate the MI premium under the Black-Scholes framework. However, the returns of theHPI exhibit housing price cycles, asymmetry and volatility clustering. In this paper, weutilize the Markov regime-switching framework which is more suitable than Black-Scholesmodel to address these characteristics of return. Finally, based on the sensitivity analysis,the housing price cycles of the HPI return is an important factor that influences MIpremiums.Key words: Asymmetry, expectation-maximization algorithm, housing price index, Markovregime-switching model, mortgage insurance contracts, volatility clustering
    Relation: 財務金融學刊, 20(3), 49-70
    Data Type: article
    DOI 連結: http://dx.doi.org/10.6545/JFS.2012.20(3).3
    DOI: 10.6545/JFS.2012.20(3).3
    Appears in Collections:[會計學系] 期刊論文

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