This article investigates the impact of macroeconomic fundamentals on the valuation of non-negative equity guarantee (NNEG) of equity release mortgages. The house price returns are modelled within the family of multiplicative volatility processes using a two-component GARCH-MIDAS model. The...

On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on “Property prices and real estate financing in a turbulent world.” The papers included in this SUERF Study are based on contributions to the conference.