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Pricing of Reverse Mortgages : an application exercise to the portuguese market : does it make sense?
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Resumo(s)
Pricing Reverse Mortgages (RM) is particularly challenging for loan providers, especially due to the uncertainty related with termination timing and the volatility of economic variables such as interest rates and house prices. When a no negative equity guarantee is offered, as Reverse Mortgages do, these variables are the ones that most ignificantly impact the size of the losses and the timing on ermination for the lenders. This Master Thesis studies the risks that a lenders faces when providing this type of loan and the pricing of RMs applied to the Portuguese case, by estimating the house price and the equired reverse mortgage interest rate when considering a RM nnuity and a RM lump sum.
Reverse Mortgage
Var model
VECM
Pension
Semi-Markov multiple state model
No negative equity guarantee
Portugal
Reverse Mortgage
Var model
VECM
Pension
Semi-Markov multiple state model
No negative equity guarantee
Portugal
Descrição
Palavras-chave
Reverse Mortgage VAR model VECM Pension Semi-Markov multiple state model No negative equity guarantee Portugal