Home Equity Conversion Mortgages
Author | : United States. Department of Housing and Urban Development. Office of Housing |
Publisher | : |
Total Pages | : 246 |
Release | : 1989 |
Genre | : Home equity conversion |
ISBN | : |
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Author | : United States. Department of Housing and Urban Development. Office of Housing |
Publisher | : |
Total Pages | : 246 |
Release | : 1989 |
Genre | : Home equity conversion |
ISBN | : |
Author | : United States. Department of Housing and Urban Development |
Publisher | : |
Total Pages | : 242 |
Release | : 1994 |
Genre | : Home equity loans |
ISBN | : |
Author | : United States. Congress. Senate. Special Committee on Aging |
Publisher | : |
Total Pages | : 68 |
Release | : 1983 |
Genre | : Home equity conversion |
ISBN | : |
Author | : Hua Chen |
Publisher | : |
Total Pages | : 49 |
Release | : 2014 |
Genre | : |
ISBN | : |
The purpose of this paper is to build a modeling and pricing framework to investigate the sustainability of the Home Equity Conversion Mortgage (HECM) program in the United States under realistic economic scenarios, i.e., whether the premium payments cover the fair premiums for the inherent risks in the HECM program. We note that earlier HECM models use static mortality tables, neglecting the dynamics of mortality rates and extreme mortality jumps. The earlier models also assume housing prices follow a geometric Brownian motion, which contradicts the fact that housing prices exhibit strong autocorrelation and varying volatility over time. To solve these problems, we propose a generalized Lee-Carter model with asymmetric jump effects to fit the mortality data, and model the house price index via an ARIMA-GARCH process. We then employ the conditional Esscher transform to price the non-recourse provision of reverse mortgages and compare it with the calculated mortgage insurance premiums. The HECM program turns out to be sustainable based on our model setup and parameter settings.
Author | : United States. Congress. Senate. Special Committee on Aging |
Publisher | : |
Total Pages | : 132 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : |
Author | : United States. Department of Housing and Urban Development |
Publisher | : |
Total Pages | : 792 |
Release | : 1994 |
Genre | : Housing |
ISBN | : |
Author | : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Housing, Transportation, and Community Development |
Publisher | : |
Total Pages | : 48 |
Release | : 2013 |
Genre | : Home equity conversion |
ISBN | : |
Author | : Home Equity Conversion Project |
Publisher | : |
Total Pages | : 72 |
Release | : 1982 |
Genre | : Mortgage loans, Reverse |
ISBN | : |