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題名 The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index
其他題名 房價循環下不動產抵押貸款保險之評價：房價指數之實證
作者 林士貴;蔡怡純;陳明吉;莊明哲
Lin,Shih-Kuei ; Tsai,I-Chun ; Chen,Ming-Chi ; Chuang,Ming-Che
貢獻者 金融系
關鍵詞 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
日期 2012-09
上傳時間 20-Feb-2014 14:41:52 (UTC+8)
摘要 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
關聯 財務金融學刊, 20(3), 49-70
資料類型 article
DOI http://dx.doi.org/10.6545/JFS.2012.20(3).3
dc.contributor 金融系en_US
dc.creator (作者) 林士貴;蔡怡純;陳明吉;莊明哲zh_TW
dc.creator (作者) Lin,Shih-Kuei ; Tsai,I-Chun ; Chen,Ming-Chi ; Chuang,Ming-Che-
dc.date (日期) 2012-09en_US
dc.date.accessioned 20-Feb-2014 14:41:52 (UTC+8)-
dc.date.available 20-Feb-2014 14:41:52 (UTC+8)-
dc.date.issued (上傳時間) 20-Feb-2014 14:41:52 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64061-
dc.description.abstract (摘要) 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-
dc.format.extent 422 bytes-
dc.format.mimetype text/html-
dc.language.iso en_US-
dc.relation (關聯) 財務金融學刊, 20(3), 49-70en_US
dc.subject (關鍵詞) 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en_US
dc.subject (關鍵詞) Asymmetry ; Expectation-maximization algorithm ; Housing price index ; Markov regime-switching model ; Mortgage insurance contracts ; Volatility clusteringen_US
dc.title (題名) The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Indexen_US
dc.title.alternative (其他題名) 房價循環下不動產抵押貸款保險之評價：房價指數之實證en_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.6545/JFS.2012.20(3).3en_US
dc.doi.uri (DOI) http://dx.doi.org/10.6545/JFS.2012.20(3).3en_US