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政大典藏 > College of Commerce > Department of Accounting > Periodical Articles > Item 140.119/64061

Please use this identifier to cite or link to this item: https://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 Lin,Shih-Kuei;Tsai,I-Chun;Chen,Ming-Chi;Chuang,Ming-Che
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 link:	http://dx.doi.org/10.6545/JFS.2012.20(3).3
DOI:	10.6545/JFS.2012.20(3).3
Appears in Collections:	[Department of Accounting] Periodical Articles

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