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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 significantly impact the size of the losses
and the timing on termination 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 required reverse mortgage interest
rate when considering a RM annuity and a RM lump sum.
Descrição
Palavras-chave
Reverse Mortgage VAR model VECM Pension Semi-Markov multiple state model No negative equity guarantee Portugal