1,721,002 research outputs found
House Price Risk in Mortgage Contracts
No full textResearch has shown that mortgage default is closely related to house prices. When house prices fall the borrower has an incentive to default. Since default incurs substantial cost to the lender, the borrower and many other market participants, as well as the society, house price is a risk in a mortgage contract. This was clearly demonstrated during the 2007-09 financial crisis. In this thesis I discuss some (potential) measures to manage mortgage default risk arising from low house prices.
Chapter 1 is on mortgage insurance. Mortgage insurance is commonly used by lenders to transfer mortgage default risk to an insurer. After a brief introduction of the mortgage and mortgage insurance markets in US and Canada, I specify a simple mortgage insurance contract and a multiple state model for mortgage termination. The contract is then priced under the model.
I explore the possibility of hedging house price risk in Chapter 2. If we assume a perfect market where house price risk can be traded exists, and a mortgage contract is a contingent claim on house prices, then the classic delta hedging is useful in hedging house price risk.
In chapter 3 I discuss an innovative type of mortgage contract -- property index-linked mortgage. The purpose of this contract design is to reduce the borrower's propensity to default when house price declines. In particular, when house price declines, the mortgage balance and payment are reduced. I analyze this contract from the borrower's perspective and find that such contracts are effective in reducing default incentives and as a result, the lender may also be better off due to lower deadweight default cost.
The last chapter focuses on house price basis risk. House price basis risk refers to the situation where the value of an individual property appreciates differently from the index. This may lead to problems such as suboptimal hedging, underpricing and lower efficiency for financial products involving house price index. In this chapter I develop a basis risk model that can be used to simulate reasonable individual house prices for a given index
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Prices and sensitivities of Asian options: A survey
No full textAsian options are hard to price both analytically and numerically. Even though they have been the focus of much attention in recent years, there is no single technique which is widely accepted to price Asian options for all choices of market parameters. For hedging purposes, the estimation of the price sensitivities is often as important as the evaluation of the prices themselves. This paper provides a survey of current methods for pricing Asian options and computing their sensitivities to the key input parameters. The methods discussed include: Monte Carlo simulation, the finite difference approach and various quasi analytical approaches and approximations. We discuss practical numerical issues that arise in implementing these methods. The paper compares the accuracy and efficiency of the different approaches and offers some general conclusions.
The design of equity-indexed annuities
No full textThere is a rich variety of tailored investment products available to the retail investor in every developed economy. These contracts combine upside participation in bull markets with downside protection in bear markets. Examples include equity-linked contracts and other types of structured products. This paper analyzes these contracts from the investor's perspective rather than the issuer's using concepts and tools from financial economics. We analyze and critique their current design and examine their valuation from the investor's perspective. We propose a generalization of the conventional design that has some interesting features. The generalized contract specifications are obtained by assuming that the investor wishes to maximize end of period expected utility of wealth subject to certain constraints. The first constraint is a guaranteed minimum rate of return which is a common feature of conventional contracts. The second constraint is new. It provides the investor with the opportunity to outperform a benchmark portfolio with some probability. We present the explicit form of the optimal contract assuming both constraints apply and we illustrate the nature of the solution using specific examples. The paper focusses on equity-indexed annuities as a representative type of such contracts but our approach is applicable to other types of equity-linked contracts and structured products.G12 G13 Equity-indexed annuities Equity-linked contracts Structured products Optimal design Optimal portfolio selection
Correlation Matrices with the Perron Frobenius Property
No full textThis paper investigates conditions under which correlation matrices have a strictly positive dominant eigenvector. The sufficient conditions, from the Perron-Frobenius theorem, are that all the matrix entries are positive. The conditions for a correlation matrix with some negative entries to have a strictly positive dominant eigenvector are examined. The special structure of correlation matrices permits obtaining of detailed analytical results for low dimensional matrices. Some specific results for the -by- case are also derived. This problem was motivated by an application in portfolio theory
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