Department seminar by Jaideep Oberoi, University of KentExport this event to calendar

Tuesday, May 26, 2015 — 4:00 PM EDT

An Alternative Structure for Home Equity Release

I will present joint work with Doug Andrews on an alternative financial structure for home equity release, involving the creation of new securities by one or more central counterparties. Such a structure holds the possibility of improving risk allocation across the economy, leading to overall welfare gains. In ongoing work we have considered the pricing of the re-allocated (or unbundled) risks in home equity release, using a sample of actual home sales. We find that the alternative structure offers the possibility of significantly higher loan to value ratios for borrowers. At the same time, we argue that the securities created would be appealing to a large group of investors that seek exposure to residential real estate as an asset class for their portfolios. I will present some of our findings on the relevant risks and their impact on the pricing of home equity release. Comments and suggestions are especially welcome and solicited.

Location 
M3 - Mathematics 3
3127
200 University Avenue West

Waterloo, ON N2L 3G1
Canada
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