Narrow search
Showing 1 - 10 of 37
Cover Image
Continuous Workout Mortgages
Shiller, Robert J. - 2011
This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only...
Persistent link: https://www.econbiz.de/10013126080
Cover Image
Derivatives Markets for Home Prices
Shiller, Robert J. - 2008
The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency of the market for single family homes. Institutional changes that might derive from the...
Persistent link: https://www.econbiz.de/10012724764
Cover Image
Default Risk and Real Estate Prices : The Use of Index- Based Futures and Options in Real Estate
Case, Karl E. - 1998
prices as the basis for hedging mortgage default risk. Taking the view that mortgage holders write put options on real estate …This article makes the case for using index-based futures and options driven by region-specific movements in house … assets, the first part of the article lays out the theoretical case for a hedging strategy based on house price changes. The …
Persistent link: https://www.econbiz.de/10012791083
Cover Image
Continuous Workout Mortgages : Efficient Pricing and Systemic Implications
Shiller, Robert J. - 2018
This paper studies the Continuous Workout Mortgage (CWM), a two in one product: a fixed rate home loan coupled with negative equity insurance, to advocate its viability in mitigating financial fragility. In order to tackle the many issues that CWMs embrace, we perform a range of tasks. We...
Persistent link: https://www.econbiz.de/10012931545
Cover Image
Aggregate Income Risks and Hedging Mechanisms
Shiller, Robert J. - 1998
comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of the aggregate income risks, might make for dramatically more effective …
Persistent link: https://www.econbiz.de/10012791779
Cover Image
Derivatives Markets for Home Prices
Shiller, Robert J. - Economics Department, Yale University - 2008
The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency of the market for single family homes. Institutional changes that might derive from the...
Persistent link: https://www.econbiz.de/10005237108
Cover Image
Continuous Workout Mortgages
Shiller, Robert J. - 2011
This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only...
Persistent link: https://www.econbiz.de/10013126511
Cover Image
Derivatives Markets for Home Prices
Shiller, Robert J. - National Bureau of Economic Research (NBER) - 2008
The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency of the market for single family homes. Institutional changes that might derive from the...
Persistent link: https://www.econbiz.de/10005718369
Cover Image
Derivatives Markets for Home Prices
Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2008
The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency of the market for single family homes. Institutional changes that might derive from the...
Persistent link: https://www.econbiz.de/10005046786
Cover Image
Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures
Shiller, Robert J. - National Bureau of Economic Research (NBER) - 1993
Two proposals are made that may facilitate the creation of derivative market instruments, such as futures contracts, cash-settled based on economic indices. The first proposal concerns index number construction: indices based on infrequent measurements of nonstandardized items may control for...
Persistent link: https://www.econbiz.de/10005601541