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Paper eres2008_165:
PROPERTY DERIVATIVES - VALUATION AND RISK ANALYSIS

id eres2008_165
authors Jajuga, Krzysztof
year 2008
title PROPERTY DERIVATIVES - VALUATION AND RISK ANALYSIS
source Book of Abstracts: 15th Annual European Real Estate Society Conference in Kraków, Poland
summary The paper presents the theoretical framework related to the so called property derivatives. The main feature of these financial structures comes from the fact that value of property derivative depends on the value of the underlying property. In the paper two types of property derivatives are distinguished: - property index derivatives – these are financial derivatives traded on the market, in which underlying instrument is property index (like IPD index); - real property options – theoretical structures which describe the opportunities to acquire or develop of property real assets at a cost determined in the present with the benefits delivered in the future; they enhance the decision making process in real estate investments by introducing more precise valuation of real estate investments. In the paper the following problems are discussed: - types of risk in real estate investments; - review of the market of property index derivatives in different countries; - proposals for the valuation of property index options and property total return swaps; - risk of property index derivatives; - review of possible real property options; - valuation of real property options and its use in real estate decision making process.
keywords Property derivatives, valuation, real options, risk analysis
series ERES:conference
email krzysztof.jajuga@ae.wroc.pl
discussion No discussions. Post discussion ...
ratings
session A6
last changed 2008/11/26 14:05
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