Macroeconomic Environment and the Optimal Mortgage Contrac
|
|
- Aldous O’Brien’
- 8 years ago
- Views:
Transcription
1 Macroeconomic Environment and the Optimal Mortgage Contract Design - A Simulation Approach Melanie Sturm University Regensburg June 24, 2009
2 Motivation Risks connected to a mortgage depend on volatile interest rates borrower income house value Wrong expectation / over-optimism about the progress of stochastic variables can lead to sufficient losses and financial instability. Optimal mortgage contract design mitigating negative outcomes of over-optimism?
3 Focus: interest rate risk Mortgage Rate Mortgage Payment r t + d ARM cr t,md = r 0 + d FRM min(r 0,.., r t ) + d DRM for md = ARM for md = FRM for md = DRM (1) with M 0,md = LTV 0,md H 0,md MP t,md = M t,md AF cr t,md 240 t+1 (2)
4 The Margin d is charged to cover expected expenses and losses Profit / Loss in Period t { PL t := M t (cr t,md r t ) for d t = 0 min(m t (cr t,md r t), (1 ξ)h t (1 + r t) M t) for d t = 1 (3)
5 Mean Reverting Process Stochastic Variables move in the direction of their means µ i at speed α i. dr t = α r (µ r r t )dt + σ r dw r,t (4) Correlations dy t = α y (µ y y t )dt + σ y dw y,t (5) dh t = α h (µ h h t )dt + σ h dw h,t (6) dw y,t dw h,t = ρ y,h dt dw y,t dw r,t = ρ y,r dt, dw h,t dw r,t = ρ h,r dt (7) with ρ y,h dt, ρ y,r dt, ρ h,r dt [ 1; 1]
6 Over-Optimism / Unexpected Movements house value: jump extended Vasicek process: with dh t = α h (µ h h t )dt + σ h dw h,t + dj h,t (8) N t J t = Z j ; dj t = Z Nt dn t (9) j=1 The jump models an extreme movement in the short run. borrower income: the borrower is more likely to loose her job if the economy goes down
7 borrower with a more doubtful income should be more constrained in taking mortgages with a high LTV no matter of the mortgage contract design. If the borrower takes the interest rate risk, a mortgage comes along with a great downside risk regarding wrong expectations about the house appreciation and the borrower income The borrower should be constrained in the LTV and PTI ratio she borrows at. If the lender takes the interest rate risk the risk arising out of risky borrower income and thus volatile house values is minimized. The downside risk faced by the lender is still manageable at higher LTV and PTI ratios. but the borrower is constraint the most in her housing decision (lower initial mortgage balance)
8 Further Research Affordability of housing the lender s exposition to interest rate risk combinations: fixing the mortgage rate in the early stage of a mortgage; adjusting the mortgage rate in the later stage of a mortgage when the mortgage is partly payed off and the interest payment makes up a smaller part of the mortgage payment shorter interest fixing periods
Mortgage Market Note MORTGAGE MARKET NOTE 12-02
Mortgage Market Note 20 Year vs. 30 Year Refinance Option September 18, 2012 MORTGAGE MARKET NOTE 12-02 20 Year vs. 30 Year Refinance Option Under the changes to the Home Affordable Refinance Program (HARP)
More informationWhat homebuyers need to know about the differential risk of mortgages
What homebuyers need to know about the differential risk of mortgages Larry J. Prather Department of Accounting and Finance Southeastern Oklahoma State University Durant, OK 7470, USA. Che-Chun Lin Department
More informationThe Financial Risks Associated with Mortgage-Backed Securities
The Financial Risks Associated with Mortgage-Backed Securities Global Association for Risk Professionals (GARP) Raleigh, NC Chapter Meeting October 25, 2012 Tao Pang, PhD, FRM Department of Mathematics
More informationThe Heston Model. Hui Gong, UCL http://www.homepages.ucl.ac.uk/ ucahgon/ May 6, 2014
Hui Gong, UCL http://www.homepages.ucl.ac.uk/ ucahgon/ May 6, 2014 Generalized SV models Vanilla Call Option via Heston Itô s lemma for variance process Euler-Maruyama scheme Implement in Excel&VBA 1.
More informationSession 2 (Life) IFRS Mortgage Insurance Example. Denise Lang
Session 2 (Life) IFRS Mortgage Insurance Example Denise Lang Mortgage Insurance Example Product Description IFRS 4 CSM Decision Implications for Mortgage Insurance May 2014 CSM Decision Wording Impact
More informationEstimating the Degree of Activity of jumps in High Frequency Financial Data. joint with Yacine Aït-Sahalia
Estimating the Degree of Activity of jumps in High Frequency Financial Data joint with Yacine Aït-Sahalia Aim and setting An underlying process X = (X t ) t 0, observed at equally spaced discrete times
More informationMonetary policy strategy: Old issues and new challenges
Monetary policy strategy: Old issues and new challenges Joint Deutsche Bundesbank/Federal Reserve Bank of Cleveland Conference Frankfurt am Main, 6-7 June 2007 Fiorella de Fiore European Central Bank Discussion
More informationSovereign Defaults. Iskander Karibzhanov. October 14, 2014
Sovereign Defaults Iskander Karibzhanov October 14, 214 1 Motivation Two recent papers advance frontiers of sovereign default modeling. First, Aguiar and Gopinath (26) highlight the importance of fluctuations
More informationA Study on Pricing of the Reverse Mortgage with an Embedded Redeemable Option An analysis based on China s market
A Study on Pricing of the Reverse Mortgage with an Embedded Redeemable Option An analysis based on China s market Chen Bingzheng, Deng Yinglu, Qin Peng CCIRM, Tsinghua Univ. Introduction Reverse mortgage:
More information4 HOUR NONTRADITIONAL MORTGAGE TYPES
NMLS Approved Provider ID 1400051 353 West 48th St, Suite 333, New York, NY 10036 4 HOUR NONTRADITIONAL MORTGAGE TYPES Course Approval: 1156/1008/1699 Course Material Date: 10/26/2015 Course Approval Date:
More informationParagon 5. Financial Calculators User Guide
Paragon 5 Financial Calculators User Guide Table of Contents Financial Calculators... 3 Use of Calculators... 3 Mortgage Calculators... 4 15 Yr vs. 30 Year... 4 Adjustable Rate Amortizer... 4 Affordability...
More informationExecutive Summary. Abstract. Heitman Analytics Conclusions:
Prepared By: Adam Petranovich, Economic Analyst apetranovich@heitmananlytics.com 541 868 2788 Executive Summary Abstract The purpose of this study is to provide the most accurate estimate of historical
More informationRefinancing Premium, National Loan Limit, and Long-Term Care Premium Waiver for FHA s HECM Program
U.S. DEPARTMENT OF HOUSING POLICY DEVELOPMENT & RESEARCH Refinancing Premium, National Loan Limit, and Long-Term Care Premium Waiver for FHA s HECM Program AND URBAN DEVELOPMENT ECONOMIC RESEARCH U.S.
More informationFRBSF ECONOMIC LETTER
FRBSF ECONOMIC LETTER 21-1 January 6, 21 Drivers of Mortgage Choices by Risky Borrowers BY FRED FURLONG, DAVID LANG, AND YELENA TAKHTAMANOVA During the past decade s housing boom, borrowers with lower
More informationInternational Stock Market Integration: A Dynamic General Equilibrium Approach
International Stock Market Integration: A Dynamic General Equilibrium Approach Harjoat S. Bhamra London Business School 2003 Outline of talk 1 Introduction......................... 1 2 Economy...........................
More informationarxiv:1605.04941v1 [q-fin.pr] 5 Mar 2016
On Mortgages and Refinancing Khizar Qureshi, Cheng Su May 18, 2016 arxiv:1605.04941v1 [q-fin.pr] 5 Mar 2016 Abstract In general, homeowners refinance in response to a decrease in interest rates, as their
More informationDiscussion of Credit Book of Business. 1) How would you characterize the quality of your current single-family mortgage credit book of business?
Discussion of Credit Book of Business 1) How would you characterize the quality of your current single-family mortgage credit book of business? We believe our conventional single-family mortgage credit
More informationFin 4713 Chapter 6. Interest Rate Risk. Interest Rate Risk. Alternative Mortgage Instruments. Interest Rate Risk. Alternative Mortgage Instruments
Fin 4713 Chapter 6 Chapter 6 Learning Objectives Understand alternative mortgage instruments Understand how the characteristics of various AMIs solve the problems of a fixed-rate mortgage Alternative Mortgage
More informationCoverage on Retail finance - Housing. Urban finance penetration to drive industry growth
Coverage on Retail finance - Housing Spotlight Urban finance penetration to drive industry growth The average ticket size (ATS) is expected to grow by around 10-12 per cent in 2010-11, primarily on account
More informationMortgage Terms Glossary
Mortgage Terms Glossary Adjustable-Rate Mortgage (ARM) A mortgage where the interest rate is not fixed, but changes during the life of the loan in line with movements in an index rate. You may also see
More informationFuld Skolerapport for Hunderupskolen, i Odense kommune, for skoleår 2013/2014 for klassetrin(ene) 7. med reference Tilsvarende klassetrin i kommunen
Side 1 af 43 Side 2 af 43 Side 3 af 43 Side 4 af 43 Side 5 af 43 Side 6 af 43 Side 7 af 43 Side 8 af 43 Side 9 af 43 Side 10 af 43 Side 11 af 43 Side 12 af 43 Side 13 af 43 Side 14 af 43 Side 15 af 43
More informationFuld Skolerapport for Søhusskolen, i Odense kommune, for skoleår 2013/2014 for klassetrin(ene) 9. med reference Tilsvarende klassetrin i kommunen
Side 1 af 41 Side 2 af 41 Side 3 af 41 Side 4 af 41 Side 5 af 41 Side 6 af 41 Side 7 af 41 Side 8 af 41 Side 9 af 41 Side 10 af 41 Side 11 af 41 Side 12 af 41 Side 13 af 41 Side 14 af 41 Side 15 af 41
More informationMortgage Insurance (MI) Plan Comparison, Questions and Answers, and Examples
Mortgage Insurance (MI) Plan Comparison, Questions and Answers, and Examples MI Plan Comparison Monthly Premium Single Premium Split Premium MI Payment Description No upfront MI premium, premium paid monthly
More informationMarkovian projection for volatility calibration
cutting edge. calibration Markovian projection for volatility calibration Vladimir Piterbarg looks at the Markovian projection method, a way of obtaining closed-form approximations of European-style option
More informationInformation Note: Restrictions on residential mortgage lending
2015 Information Note: Restrictions on residential mortgage lending 1 Contents 1. Introduction... 2 2. Background to the Regulations... 3 3. Scope of the measures... 4 4. LTV limits and exemptions... 5
More informationSimulating Stochastic Differential Equations
Monte Carlo Simulation: IEOR E473 Fall 24 c 24 by Martin Haugh Simulating Stochastic Differential Equations 1 Brief Review of Stochastic Calculus and Itô s Lemma Let S t be the time t price of a particular
More informationLecture 14 More on Real Business Cycles. Noah Williams
Lecture 14 More on Real Business Cycles Noah Williams University of Wisconsin - Madison Economics 312 Optimality Conditions Euler equation under uncertainty: u C (C t, 1 N t) = βe t [u C (C t+1, 1 N t+1)
More informationThe Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Variable Annuity Guarantees
The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Variable Annuity Guarantees Alexander Kling, Frederik Ruez, and Jochen Russ Frederik Ruez, Ulm University Research Purpose
More informationA Presentation On the State of the Real Estate Crisis 1/30/2009
A Presentation On the State of the Real Estate Crisis 1/30/2009 Presented by Mike Anderson, CRMS President, Essential Mortgage, a Latter & Blum Realtors Company Immediate past president/legislative Chair
More informationFinancial Evolution and Stability The Case of Hedge Funds
Financial Evolution and Stability The Case of Hedge Funds KENT JANÉR MD of Nektar Asset Management, a market-neutral hedge fund that works with a large element of macroeconomic assessment. Hedge funds
More informationTutorial: Structural Models of the Firm
Tutorial: Structural Models of the Firm Peter Ritchken Case Western Reserve University February 16, 2015 Peter Ritchken, Case Western Reserve University Tutorial: Structural Models of the Firm 1/61 Tutorial:
More information11.5 Buying a House with a Mortgage FILLED IN.notebook February 17, 2015
11.5 Buying a House with a Mortgage 1 DOWN PAYMENT The amount of cash the buyer must pay the seller before the lending institution will grant the buyer a mortgage for the remaining amount of the home price
More informationA. Volume and Share of Mortgage Originations
Section IV: Characteristics of the Fiscal Year 2006 Book of Business This section takes a closer look at the characteristics of the FY 2006 book of business. The characteristic descriptions include: the
More informationAn Analysis of Default Risk in the Home Equity Conversion Mortgage (HECM) Program
An Analysis of Default Risk in the Home Equity Conversion Mortgage (HECM) Program Stephanie Moulton, John Glenn School of Public Affairs, The Ohio State University Donald Haurin, Department of Economics,
More informationHow to assess the risk of a large portfolio? How to estimate a large covariance matrix?
Chapter 3 Sparse Portfolio Allocation This chapter touches some practical aspects of portfolio allocation and risk assessment from a large pool of financial assets (e.g. stocks) How to assess the risk
More informationPURCHASE MORTGAGE. Mortgage loan types
PURCHASE MORTGAGE Mortgage loan types There are many types of mortgages used worldwide, but several factors broadly define the characteristics of the mortgage. All of these may be subject to local regulation
More informationCONTRACTS FOR DIFFERENCE
CONTRACTS FOR DIFFERENCE Contracts for Difference (CFD s) were originally developed in the early 1990s in London by UBS WARBURG. Based on equity swaps, they had the benefit of being traded on margin. They
More informationHome Affordable Refinance Program
Home Affordable Refinance Program Blake Hampton Fannie Mae Single Family Mortgage March 6, 2013 1 Fannie Mae s Refi Plus Initiative Fannie Mae provides Fannie Mae-to-Fannie Mae streamlined refinance flexibilities
More informationThe Causal Effect of Mortgage Refinancing on Interest-Rate Volatility: Empirical Evidence and Theoretical Implications by Jefferson Duarte
The Causal Effect of Mortgage Refinancing on Interest-Rate Volatility: Empirical Evidence and Theoretical Implications by Jefferson Duarte Discussion Daniel Smith Simon Fraser University May 4, 2005 Very
More informationInterest-Only Mortgage Payments and Payment-Option ARMs Are They for You?
Board of Governors of the Federal Reserve System Federal Deposit Insurance Corporation National Credit Union Administration Office of the Comptroller of the Currency Office of Thrift Supervision Interest-Only
More informationThe Help to Buy: equity loan scheme What you need to know before you go ahead
Page 1 of 5 The Help to Buy: equity loan scheme What you need to know before you go ahead What is the Help to Buy: equity loan scheme? The Help to Buy: equity loan scheme is a Government backed programme
More informationStock Price Dynamics, Dividends and Option Prices with Volatility Feedback
Stock Price Dynamics, Dividends and Option Prices with Volatility Feedback Juho Kanniainen Tampere University of Technology New Thinking in Finance 12 Feb. 2014, London Based on J. Kanniainen and R. Piche,
More informationMacroeconomic Effects of Financial Shocks Online Appendix
Macroeconomic Effects of Financial Shocks Online Appendix By Urban Jermann and Vincenzo Quadrini Data sources Financial data is from the Flow of Funds Accounts of the Federal Reserve Board. We report the
More informationRisk and return (1) Class 9 Financial Management, 15.414
Risk and return (1) Class 9 Financial Management, 15.414 Today Risk and return Statistics review Introduction to stock price behavior Reading Brealey and Myers, Chapter 7, p. 153 165 Road map Part 1. Valuation
More informationMarket Consistent Valuation and Funding of Cash Balance Pensions
Market Consistent Valuation and Funding of Cash Balance Pensions Mary R Hardy, David Saunders & Xiaobai Mike Zhu Statistics and Actuarial Science, University of Waterloo. July 31, 213 1 Executive Summary
More informationTREASURY MANAGEMENT STRATEGY 2008/2009
APPENDIX 1 TREASURY MANAGEMENT STRATEGY 2008/2009 Treasury Limits for 2008/09 to 2010/11 It is a statutory duty under s.3 of the Local Government Act 2003, and supporting regulations, for the Council to
More informationLecture 12: The Black-Scholes Model Steven Skiena. http://www.cs.sunysb.edu/ skiena
Lecture 12: The Black-Scholes Model Steven Skiena Department of Computer Science State University of New York Stony Brook, NY 11794 4400 http://www.cs.sunysb.edu/ skiena The Black-Scholes-Merton Model
More informationMargin Requirements & Margin Calls
Margin Requirements & Margin Calls Dr. Patrick Toche References : Zvi Bodie, Alex Kane, Alan J. Marcus. Essentials of Investment. McGraw- Hill Irwin. Chapter 3 of the Bodie-Kane-Marcus textbook will be
More informationExpected default frequency
KM Model Expected default frequency Expected default frequency (EDF) is a forward-looking measure of actual probability of default. EDF is firm specific. KM model is based on the structural approach to
More informationValuing Individual Mortgage Servicing Contracts: A Comparison between Adjustable Rate Mortgages and Fixed Rate Mortgages
Review of Pacific Basin Financial Markets and Policies Vol. 8, No. 1 (2005) 131 146 c World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research Valuing Individual
More informationOr part of or all the risk is dynamically hedged trading regularly, with a. frequency that needs to be appropriate for the trade.
Option position (risk) management Correct risk management of option position is the core of the derivatives business industry. Option books bear huge amount of risk with substantial leverage in the position.
More informationWhen to Refinance Mortgage Loans in a Stochastic Interest Rate Environment
When to Refinance Mortgage Loans in a Stochastic Interest Rate Environment Siwei Gan, Jin Zheng, Xiaoxia Feng, and Dejun Xie Abstract Refinancing refers to the replacement of an existing debt obligation
More informationAn exact formula for default swaptions pricing in the SSRJD stochastic intensity model
An exact formula for default swaptions pricing in the SSRJD stochastic intensity model Naoufel El-Bachir (joint work with D. Brigo, Banca IMI) Radon Institute, Linz May 31, 2007 ICMA Centre, University
More informationMortgage Loans in the Czech Republic
Mortgage Loans in the Czech Republic BIVŠ 10. 3. 2014 Petr Kielar http://petr.kielar.cz/download Overview What is the Mortgage Loan? Mortgage Loans and Mortgage Bonds Credit Process Repayment Market Overview
More informationORIGINAL 5/5 ADJUSTABLE RATE MORTGAGE LOAN 5/5 POWER PURCHASE MORTGAGE LOAN
5/5 ARM HOME LOAN RATES AND TERMS Effective October, 015 and subject to change. Get flexibility, stability and no closing costs 1 with SDCCU s 5/5 Adjustable Rate Mortgage Home Loan. Your rate can only
More informationWhen calculating your monthly loan payments, the interest rate, and not the APR, is used.
FAQ on Mortgages RATE The posted interest rate is the actual rate used to calculate your monthly loan payment. The interest rate that you will be charged on your loan is set once you have completed our
More informationIntermediary Balance Sheets
Federal Reserve Bank of New York Staff Reports Intermediary Balance Sheets Tobias Adrian Nina Boyarchenko Staff Report No. 65 November 3 This paper presents preliminary findings and is being distributed
More informationMargin Requirements & Margin Calls
Margin Requirements & Margin Calls Dr. Patrick Toche References : Zvi Bodie, Alex Kane, Alan J. Marcus. Essentials of Investment. McGraw- Hill Irwin. Chapter 3 of the Bodie-Kane-Marcus textbook will be
More informationOnline Appendix for Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Online Appendix for Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets Hui Chen Scott Joslin Sophie Ni August 3, 2015 1 An Extension of the Dynamic Model Our model
More informationGLOSSARY COMMONLY USED REAL ESTATE TERMS
GLOSSARY COMMONLY USED REAL ESTATE TERMS Adjustable-Rate Mortgage (ARM): a mortgage loan with an interest rate that is subject to change and is not fixed at the same level for the life of the loan. These
More informationLisa Borland. A multi-timescale statistical feedback model of volatility: Stylized facts and implications for option pricing
Evnine-Vaughan Associates, Inc. A multi-timescale statistical feedback model of volatility: Stylized facts and implications for option pricing Lisa Borland October, 2005 Acknowledgements: Jeremy Evnine
More informationPricing and Risk Management of Variable Annuity Guaranteed Benefits by Analytical Methods Longevity 10, September 3, 2014
Pricing and Risk Management of Variable Annuity Guaranteed Benefits by Analytical Methods Longevity 1, September 3, 214 Runhuan Feng, University of Illinois at Urbana-Champaign Joint work with Hans W.
More information...With CMHC Mortgage Loan Insurance
Open New Doors to Affordable Housing...With CMHC Mortgage Loan Insurance 65404 As Canada s national housing agency, Canada Mortgage and Housing Corporation (CMHC) is committed to facilitating the creation
More informationHOMEBUYER S MORTGAGE GUIDE
WWW.WINTRUSTMORTGAGE.COM WINTRUST.COM/MYHOME HOMEBUYER S MORTGAGE GUIDE HELPFUL INFORMATION ABOUT THE MORTGAGE PROCESS TO GUIDE YOU AS YOU PURCHASE YOUR NEW HOME. www.wintrust.com/myhome WHY WINTRUST?
More informationHow To Value Options In Black-Scholes Model
Option Pricing Basics Aswath Damodaran Aswath Damodaran 1 What is an option? An option provides the holder with the right to buy or sell a specified quantity of an underlying asset at a fixed price (called
More informationTable of Contents Reverse Mortgage O verview... Reverse Mortgage K ey Questions... 5 Reverse Mortgage Pros and Cons... 7 Reverse Mortgage Borr
1 Table of Contents Reverse Mortgage Overview... Reverse Mortgage Key Questions... Reverse Mortgage Pros and Cons... Reverse Mortgage Borrower Qualification... Reverse Mortgage Key Items... Reverse Mortgage
More informationHow To Understand Credit Rating And Credit Rating
Keeping Score: Why Credit Matters LESSON 1 Keeping Score: Why Credit Matters LESSON 1: TEACHERS GUIDE In the middle of a football grandfinal, keeping score is the norm. But when it comes to life, many
More informationThe Fair Valuation of Life Insurance Participating Policies: The Mortality Risk Role
The Fair Valuation of Life Insurance Participating Policies: The Mortality Risk Role Massimiliano Politano Department of Mathematics and Statistics University of Naples Federico II Via Cinthia, Monte S.Angelo
More informationMarket Conditions for Housing Loans in Uganda
Market Conditions for Housing Loans in Uganda Annika Nilsson Ph.D student Centre for banking and finance (Cefin) Royal Institute of Technology, Sweden Background In developing countries the majority build
More informationMortgages -from a household perspective IAA COLLOQUIUM Oslo 2015
Faculty of Science Mortgages -from a household perspective IAA COLLOQUIUM Oslo 2015 Maj-Britt Nordfang & M. Steffensen Department of Mathematical Sciences University of Copenhagen Universitetsparken 5
More informationMortgage Lending Basics
Welcome to PMI s On Demand Training Bootcamp Mortgage Lending Basics PRESENTED BY PMI MORTGAGE INSURANCE CO. Introduction to Mortgage Lending Course Overview Mortgage Lending Basics Origination Process
More informationMaking Home Affordable: New Challenges, New Tools
Making Home Affordable: New Challenges, New Tools Todd Hempstead Senior Vice President, Single-Family Mortgage Business Fannie Mae June 2009 1 What I ll cover today Challenges facing our communities Fannie
More informationWith compound interest you earn an additional $128.89 ($1628.89 - $1500).
Compound Interest Interest is the amount you receive for lending money (making an investment) or the fee you pay for borrowing money. Compound interest is interest that is calculated using both the principle
More informationChanging Credit Limits in Denmark
Changing Credit Limits, Changing Business Cycles H J University of Copenhagen and CEPR S H R University of Copenhagen E S University of Copenhagen First version: September 23 This version: February 25
More informationA Privatized U.S. Mortgage Market
A Privatized U.S. Mortgage Market Dwight Jaffee Haas School of Business University of California, Berkeley Presented to Conference on The GSEs, Housing, and The Economy Reagan Center, Washington DC, January
More informationFHA MIP Rate and Duration Changes starting April 1, 2013 and June 3, 2013 By Bahman Davani, Member of CCAR s REALTOR /Lender Committee
FHA MIP Rate and Duration Changes starting April 1, 2013 and June 3, 2013 By Bahman Davani, Member of CCAR s REALTOR /Lender Committee The following changes to FHA Mortgage Insurance Premiums (MIP) will
More informationShare Loan and Underlying Mortgage Financing. Jeremy Morgan, NCB Larry Mathe, NCB
Share Loan and Underlying Mortgage Financing Jeremy Morgan, NCB Larry Mathe, NCB About NCB NCB is the premier lender to housing cooperatives nationwide. NCB has financed over $6 Billion to housing cooperatives
More informationThe Impact of Financial Sophistication on Adjustable Rate Mortgage Ownership
The Impact of Financial Sophistication on Adjustable Rate Mortgage Ownership Hyrum Smith, Michael S. Finke, and Sandra J. Huston The influence of a financial sophistication scale on adjustable-rate mortgage
More informationThe Adjustable Rate Loan, the Graduated Payment Loan, and Other Loan Arrangements
Chapter 43 The Adjustable Rate Loan, the Graduated Payment Loan, and Other Loan Arrangements INTRODUCTION When interest rates are generally stable from year to year, the fixed-rate amortized loan works
More informationGifts, Down Payments, and Housing Affordability
Gifts, Down Payments, and Housing Affordability 59 Journal of Housing Research Volume 7, Issue 1 59 Fannie Mae Foundation 1996. All Rights Reserved. Gifts, Down Payments, and Housing Affordability Christopher
More informationCredit Scoring Modelling for Retail Banking Sector.
Credit Scoring Modelling for Retail Banking Sector. Elena Bartolozzi, Matthew Cornford, Leticia García-Ergüín, Cristina Pascual Deocón, Oscar Iván Vasquez & Fransico Javier Plaza. II Modelling Week, Universidad
More informationHOW MUCH HOUSE CAN YOU AFFORD?: STUDENT HANDOUT
INDIVIDUAL BORROWING LESSON: HOW MUCH HOUSE CAN YOU AFFORD?: STUDENT HANDOUT Congratulations! You were able to save and invest more than 10 percent of your budget over a few years, and you now have $10,000
More informationShould Banks Trade Equity Derivatives to Manage Credit Risk? Kevin Davis 9/4/1991
Should Banks Trade Equity Derivatives to Manage Credit Risk? Kevin Davis 9/4/1991 Banks incur a variety of risks and utilise different techniques to manage the exposures so created. Some of those techniques
More informationIntroduction Pricing Effects Greeks Summary. Vol Target Options. Rob Coles. February 7, 2014
February 7, 2014 Outline 1 Introduction 2 3 Vega Theta Delta & Gamma Hedge P& L Jump sensitivity The Basic Idea Basket split between risky asset and cash Chose weight of risky asset w to keep volatility
More informationThe Math Behind Loan Modification
The Math Behind Loan Modification A Webinar for Housing Counselors and Loan Modification Specialists Presented by Bill Allen Deputy Director, HomeCorps Overview Types of loan modifications Estimating eligibility
More informationThe Determinants of Stock and Bond Return Comovements
The Determinants of Stock and Bond Return Comovements Lieven Baele Tilburg University, CentER, Netspar Geert Bekaert Columbia University, NBER, CEPR Koen Inghelbrecht Ghent University Research questions
More informationHomeownership. Your First Steps toward. Getting Started. Know Your Finances. Which Mortgage Is Right for You?
Your First Steps toward Homeownership Identify the type of mortgage that meets your specific financial needs Getting Started Many people don t consider buying a home because they re afraid they can t afford
More informationMortgage Retention: Predicting Refinance Motivations
Mortgage Retention: Predicting Refinance Motivations Nothing endures but change - Heraclitus (540 BC 480 BC) Changing Trends in the Mortgage Industry In 2001, at the dawn of the new millennium, long term
More informationHousehold debt and consumption in the UK. Evidence from UK microdata. 10 March 2015
Household debt and consumption in the UK Evidence from UK microdata 10 March 2015 Disclaimer This presentation does not necessarily represent the views of the Bank of England or members of the Monetary
More informationVI. Real Business Cycles Models
VI. Real Business Cycles Models Introduction Business cycle research studies the causes and consequences of the recurrent expansions and contractions in aggregate economic activity that occur in most industrialized
More informationThe Wealth Building Home Loan: A Straight, Broad Highway to Greater Wealth for Low- and Middle-Income Households
The Wealth Building Home Loan: A Straight, Broad Highway to Greater Wealth for Low- and Middle-Income Households Stephen Oliner and Edward Pinto American Enterprise Institute Presented at NYU Stern Center
More informationMonte Carlo Simulation
Monte Carlo Simulation Palisade User Conference 2007 Real Options Analysis Dr. Colin Beardsley, Managing Director Risk-Return Solutions Pty Limited www.riskreturnsolutions.com The Plot Today We will review
More informationELIGIBILITY MATRIX. Table of Contents. Standard Eligibility Requirements - Desktop Underwriter Page 2
ELIGIBILITY MATRIX The Eligibility Matrix provides the comprehensive LTV, CLTV, and HCLTV ratio requirements for conventional first mortgages eligible for delivery to Fannie Mae. The Eligibility Matrix
More informationMortgage Market Institutions and Housing Market Outcomes: A Dynamic General Equilibrium Approach
Mortgage Market Institutions and Housing Market Outcomes: A Dynamic General Equilibrium Approach Edward Kung September 30, 2014 Abstract I develop a dynamic general equilibrium model of housing and mortgage
More informationLecture 1: Asset pricing and the equity premium puzzle
Lecture 1: Asset pricing and the equity premium puzzle Simon Gilchrist Boston Univerity and NBER EC 745 Fall, 2013 Overview Some basic facts. Study the asset pricing implications of household portfolio
More informationESTIMATION OF DEMAND FOR MORTGAGE LOANS USING LOAN-LEVEL DATA
ESTIMATION OF DEMAND FOR MORTGAGE LOANS USING LOAN-LEVEL DATA Evgeniy M. Ozhegov Higher School of Economics, Laboratory of Empirical Analysis of Industrial Organization, Perm, Russia Abstract This report
More informationAGENCY POSITION u MORTGAGE REFINANCE MARKETING u PRESENTED BY STRATEGIC DIRECT MARKETING, INC. 447 METROPLEX DRIVE NASHVILLE, TN 37211 1-800-843-8861
AGENCY POSITION u MORTGAGE REFINANCE MARKETING u PRESENTED BY STRATEGIC DIRECT MARKETING, INC. 447 METROPLEX DRIVE NASHVILLE, TN 37211 1-800-843-8861 WWW.SDMI3.COM MORTGAGE REFINANCE MARKETING OVERVIEW
More informationExam MFE Spring 2007 FINAL ANSWER KEY 1 B 2 A 3 C 4 E 5 D 6 C 7 E 8 C 9 A 10 B 11 D 12 A 13 E 14 E 15 C 16 D 17 B 18 A 19 D
Exam MFE Spring 2007 FINAL ANSWER KEY Question # Answer 1 B 2 A 3 C 4 E 5 D 6 C 7 E 8 C 9 A 10 B 11 D 12 A 13 E 14 E 15 C 16 D 17 B 18 A 19 D **BEGINNING OF EXAMINATION** ACTUARIAL MODELS FINANCIAL ECONOMICS
More informationJim Gatheral Scholarship Report. Training in Cointegrated VAR Modeling at the. University of Copenhagen, Denmark
Jim Gatheral Scholarship Report Training in Cointegrated VAR Modeling at the University of Copenhagen, Denmark Xuxin Mao Department of Economics, the University of Glasgow x.mao.1@research.gla.ac.uk December
More information