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Paper eres2008_166:
RISK OF MORTGAGE LOAN FINANCING - MEASUREMENT AND HEDGING

id eres2008_166
authors Jajuga, Krzysztof
year 2008
title RISK OF MORTGAGE LOAN FINANCING - MEASUREMENT AND HEDGING
source Book of Abstracts: 15th Annual European Real Estate Society Conference in Kraków, Poland
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.
keywords Mortgage loan risk, mortgage backed securities, credit risk, interest rate risk, property price risk
series ERES:conference
email krzysztof.jajuga@ae.wroc.pl
discussion No discussions. Post discussion ...
ratings
session C3
last changed 2008/11/26 14:05
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