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E-grāmata: Real-Estate Derivatives: From Econometrics to Financial Engineering

(Director of CEQUFIN, Kent Business School, University of Kent)
  • Formāts: 224 pages
  • Izdošanas datums: 29-Mar-2017
  • Izdevniecība: Oxford University Press
  • Valoda: eng
  • ISBN-13: 9780191060618
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Real-Estate Derivatives: From Econometrics to Financial EngineeringPalielināt
  • Formāts: 224 pages
  • Izdošanas datums: 29-Mar-2017
  • Izdevniecība: Oxford University Press
  • Valoda: eng
  • ISBN-13: 9780191060618
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This book brings together the latest concepts and models in real-estate derivatives, the new frontier in financial markets. The importance of real-estate derivatives in managing property price risk that has destabilized economies frequently over the last hundred years has been brought into the limelight by Robert Shiller. In spite of his masterful campaign for the introduction of real-estate derivatives, these financial instruments are still in a state of infancy. This book aims to provide a state-of-the-art overview of real-estate derivatives, covering the description of these financial products, their applications, and the most important models proposed in the literature. In order to facilitate a better understanding of the situations when these products can be successfully used, ancillary topics such as real-estate indices, mortgages, securitization, and equity release mortgages are also discussed.

The book examines econometric aspects of real-estate index prices time series and financial engineering non-arbitrage principles governing the pricing of derivatives. The emphasis is on understanding the financial instruments through their mechanics and comparative description. The examples are based on real-world data from exchanges or from major investment banks or financial houses in London. The numerical analysis is easily replicable with Excel and Matlab.
List of Figures
xv
List of Tables
xix
1 An Overview of Real-Estate Prices
1(8)
1.1 Introduction
1(2)
1.1.1 Real-Estate Markets
1(2)
1.2 Residential versus Commercial Property
3(2)
1.2.1 Characteristics of Residential Property
4(1)
1.2.2 Characteristics of Commercial Property
4(1)
1.3 Empirical Characteristics of Real-Estate Prices Time Series
5(2)
1.3.1 Determinants of Commercial Property Prices
5(2)
1.4 Summary Points and Further Reading
7(2)
2 A Review of Real-Estate Indices
9(30)
2.1 Introduction
9(1)
2.2 A Classification of Real-Estate Indices
10(2)
2.2.1 Transaction-Based Indices
10(1)
2.2.2 Appraisal-Based Indices
11(1)
2.3 Main Real-Estate Indices Worldwide
12(21)
2.3.1 The Investment Property Data Index
12(4)
2.3.2 NCREIF Property Index
16(4)
2.3.3 Moody's/RCA Commercial Property Price Index
20(1)
2.3.4 S&P Case-Shiller Index
20(4)
2.3.5 Residential Property Index
24(4)
2.3.6 Halifax House Price Index
28(3)
2.3.7 Nationwide House Price Index
31(2)
2.4 Other Indices
33(3)
2.5 Summary Points and Further Reading
36(3)
3 Financial Modelling for Mortgages
39(40)
3.1 Introduction
39(2)
3.2 Mortgages
41(5)
3.2.1 Commercial Mortgages
41(1)
3.2.2 Residential Mortgages
42(4)
3.3 Main Drivers of Mortgage Rates
46(4)
3.3.1 Prepayment Risk
46(1)
3.3.2 Default Risk
47(1)
3.3.3 Arrears
48(1)
3.3.4 Loss Severity
48(1)
3.3.5 Drivers of Losses for Nonconforming Mortgages
49(1)
3.3.6 Risk Management Considerations for Mortgages
49(1)
3.4 An Overview of Prepayment Models
50(24)
3.4.1 The Arctangent Model
51(2)
3.4.2 The Chinloy Model
53(2)
3.4.3 The Schwartz and Torous Model
55(5)
3.4.4 The Goldman Sachs Model (Richard and Roll, 1989)
60(1)
3.4.5 The Modified Goldman Sachs Model
61(2)
3.4.6 A Numerical Example of Using the Richard and Roll Model
63(4)
3.4.7 Citigroup Model
67(4)
3.4.8 Lehman Brothers Logistic Regression Model
71(3)
3.5 Default Models
74(1)
3.5.1 Case-Shiller Model
74(1)
3.6 Supervisory Stress Tests: The OFHEO Experience
75(1)
3.7 Summary Points and Further Reading
76(1)
3.8 Appendix
77(2)
3.8.1 The Libor Market Model
77(1)
3.8.2 The Two-Factor Additive Gaussian Model
77(2)
4 Mortgage Securitization; Pricing and Risk Management
79(36)
4.1 Introduction
79(1)
4.2 Mortgage Backed Securities
80(2)
4.2.1 Brief Overview
80(1)
4.2.2 Private Label
81(1)
4.3 Commercial Mortgage Backed Securities
82(1)
4.3.1 Brief Overview
82(1)
4.3.2 Modelling Issues for CMBS
83(1)
4.4 Securitization
83(2)
4.4.1 Federal Agency Securities -- US
84(1)
4.4.2 Factors Influencing the MBS Portfolios
84(1)
4.5 Valuation of Mortgage Cash-Flows
85(4)
4.5.1 Pricing MBS Framework
85(1)
4.5.2 Bond-equivalent MBS Yield and the OAS Adjustment Rate
86(3)
4.6 Balance Guaranteed Swaps
89(22)
4.6.1 Index Amortizing Swaps
89(2)
4.6.2 Caps, Floors, and Swaptions
91(1)
4.6.3 Balance Guaranteed Swaps
92(1)
4.6.4 Structuring of BGS
93(8)
4.6.5 Risk Management Issues
101(3)
4.6.6 Risk Management with Balance Guaranteed Swaps
104(4)
4.6.7 Backtesting with Historical Libor Data
108(3)
4.7 Summary Points and Further Reading
111(1)
4.8 Appendix: Simulating Interest Rate Paths
112(3)
5 Real-Estate Derivative Instruments
115(24)
5.1 Introduction
115(1)
5.2 Over-the-Counter Products
116(15)
5.2.1 Total Return Swaps
116(3)
5.2.2 Forward Contracts
119(7)
5.2.3 Trading Platforms and Exchange Traded Instruments
126(5)
5.2.4 RPX Futures
131(1)
5.2.5 Other Futures and Options
131(1)
5.3 MacroShares
131(4)
5.3.1 Mechanics of the MacroShares in Real-Estate Markets
131(2)
5.3.2 Pricing of MacroShares
133(2)
5.4 Other Products: Options and Structured Products
135(2)
5.4.1 PICs, PIFs, and PINs
135(1)
5.4.2 More Exotic Products
136(1)
5.5 CMBS Total Return Swaps
137(1)
5.6 Summary Points and Further Reading
138(1)
6 Financial Applications of Real-Estate Derivatives
139(16)
6.1 Introduction
139(1)
6.2 Strategies Based on Property Derivatives
139(5)
6.2.1 Country Swap
140(1)
6.2.2 Changing Exposure
140(3)
6.2.3 Rebalancing a Direct Property Portfolio
143(1)
6.3 Forward-Futures Arbitrage
144(8)
6.4 Other Applications of Real-Estate Derivatives
152(1)
6.5 Summary Points and Further Reading
153(2)
7 Real-Estate Derivatives Models
155(40)
7.1 Introduction
155(1)
7.2 Equilibrium Models
155(8)
7.2.1 Geltner-Fisher Model
155(2)
7.2.2 Cao-Wei Model
157(6)
7.3 No-Arbitrage Models
163(5)
7.3.1 Syz's Model
164(1)
7.3.2 Bjork-Clapham's Model for CREILS
165(3)
7.4 Econometric and Mathematical Based Models
168(22)
7.4.1 Shiller-Weiss Lognormal Model
168(4)
7.4.2 BFSP Model
172(9)
7.4.3 Fabozzi-Shiller-Tunaru Model
181(8)
7.4.4 Pricing Real-Estate Options
189(1)
7.5 Summary Points and Further Reading
190(2)
7.6 Appendix
192(3)
8 Equity Release Mortgages
195(34)
8.1 Introduction
195(4)
8.1.1 Key Benefits of Reverse Mortgages
197(2)
8.2 Mechanics of Reverse Mortgages
199(8)
8.2.1 Key Risks for Reverse Mortgages
200(2)
8.2.2 A Framework for Valuation of Reverse Mortgage in Continuous-Time
202(5)
8.3 Equity Release Programmes Around the World
207(6)
8.3.1 The HECM Programme in the US
207(2)
8.3.2 The Korean Government Sponsored Reverse Mortgage Model
209(4)
8.4 Main Risks with Reverse Mortgages
213(6)
8.4.1 Interest Rate Risk
213(2)
8.4.2 Longevity or Mortality Risk
215(1)
8.4.3 Morbidity Risk
216(1)
8.4.4 House Price Risk
217(2)
8.4.5 Prepayment Risk
219(1)
8.5 Valuations Considerations for ERMs
219(9)
8.5.1 Modelling Issues
219(2)
8.5.2 The Ortiz-Stone-Zissu Model
221(3)
8.5.3 Break-Even Cost Calculations
224(4)
8.6 Summary Points and Further Reading
228(1)
9 Conclusions and Where Next
229(4)
Bibliography 233(8)
Author Index 241(2)
Subject Index 243
Radu S. Tunaru has been working in Finance since 2000 and he specialises in structured finance (credit risk), derivatives pricing and risk management, real estate finance, and model risk. He has published over 50 articles and he has received six best paper awards. His latest work includes three papers on real-estate derivatives with Nobel laureate in Economics, Robert Shiller. His career includes working for Bank of Montreal and for Merrill Lynch where he was a vice-president in Structured Finance EMEA RMBS. He serves as an associate editor on the board of Frontiers in Finance and Economics, Journal of Portfolio Management and Journal of Banking and Finance.
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