Digital library of construction informatics and information technology in civil engineering and construction
Digital library
Paper: eres2008_166
| Paper title: | RISK OF MORTGAGE LOAN FINANCING - MEASUREMENT AND HEDGING |
| Authors: | Jajuga, Krzysztof |
| Summary: | The paper discusses risk of mortgage loan financing. Two basic financing structures are considered: mortgage loans and mortgage backed securities, including covered bonds. Three main types of risk are covered: credit risk, interest rate risk and property price risk. For each type of risk different risk measures are discussed. Then the aggregate risk measure is derived. The second part of the paper contains the overview of different hedging instruments used in mortgage loan risk management. The third part of the paper discusses the issues of risk of mortgage backed securities, including subprime loan crisis. |
| Type: | |
| Year of publication: | 2008 |
| Keywords: | Mortgage loan risk, mortgage backed securities, credit risk, interest rate risk, property price risk |
| Series: | ERES:conference |
| Download paper: | |
| Citation: | Jajuga, Krzysztof (2008). RISK OF MORTGAGE LOAN FINANCING - MEASUREMENT AND HEDGING. Book of Abstracts: 15th Annual European Real Estate Society Conference in Kraków, Poland, http://itc.scix.net/paper/eres2008_166 |
hosted by University of Ljubljana
includes:
W78
includes:
W78
inspired by SciX, ported by Robert Klinc [2019]