Comparing Mortgage Credit Risk Policies : An Options-Based Approach
Buckley, Karaguishiyeva,Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models can help measure and evaluate the risks of various schemes. They find that mortgage default insurance can be a cost-effective tool for both improving housing affordability and efficiently addressing some of the rationing that characterizes this market. When correctly structured, as it is in a number of transition and market countries, this kind of program can be expected to reduce nonprice rationing at an actuarially fair price. At the same time, considerable care must be exercised in the development of such instruments. Geographical risk diversification, particularly across borders, can play a major role in the success of these programs. Such diversification could be important not only in smaller transition economies but in EU countries as well.
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dig-okr-10986181802024-08-08T17:45:57Z Comparing Mortgage Credit Risk Policies : An Options-Based Approach Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT Buckley, Karaguishiyeva,Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models can help measure and evaluate the risks of various schemes. They find that mortgage default insurance can be a cost-effective tool for both improving housing affordability and efficiently addressing some of the rationing that characterizes this market. When correctly structured, as it is in a number of transition and market countries, this kind of program can be expected to reduce nonprice rationing at an actuarially fair price. At the same time, considerable care must be exercised in the development of such instruments. Geographical risk diversification, particularly across borders, can play a major role in the success of these programs. Such diversification could be important not only in smaller transition economies but in EU countries as well. 2014-05-05T20:49:01Z 2014-05-05T20:49:01Z 2003-05 http://documents.worldbank.org/curated/en/2003/05/2360828/comparing-mortgage-credit-risk-policies-options-based-approach https://hdl.handle.net/10986/18180 English en_US Policy Research Working Paper;No. 3047 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ application/pdf text/plain World Bank, Washington, DC |
institution |
Banco Mundial |
collection |
DSpace |
country |
Estados Unidos |
countrycode |
US |
component |
Bibliográfico |
access |
En linea |
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dig-okr |
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biblioteca |
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America del Norte |
libraryname |
Biblioteca del Banco Mundial |
language |
English en_US |
topic |
ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT |
spellingShingle |
ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura Comparing Mortgage Credit Risk Policies : An Options-Based Approach |
description |
Buckley, Karaguishiyeva,Van Order, and
Vecvagare analyze the structure of approaches to mortgage
credit risk that are now being used in a number of OECD and
transition economies. The authors' basic approach is to
show how option pricing models can help measure and evaluate
the risks of various schemes. They find that mortgage
default insurance can be a cost-effective tool for both
improving housing affordability and efficiently addressing
some of the rationing that characterizes this market. When
correctly structured, as it is in a number of transition and
market countries, this kind of program can be expected to
reduce nonprice rationing at an actuarially fair price. At
the same time, considerable care must be exercised in the
development of such instruments. Geographical risk
diversification, particularly across borders, can play a
major role in the success of these programs. Such
diversification could be important not only in smaller
transition economies but in EU countries as well. |
topic_facet |
ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT |
author |
Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura |
author_facet |
Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura |
author_sort |
Buckley, Robert |
title |
Comparing Mortgage Credit Risk Policies : An Options-Based Approach |
title_short |
Comparing Mortgage Credit Risk Policies : An Options-Based Approach |
title_full |
Comparing Mortgage Credit Risk Policies : An Options-Based Approach |
title_fullStr |
Comparing Mortgage Credit Risk Policies : An Options-Based Approach |
title_full_unstemmed |
Comparing Mortgage Credit Risk Policies : An Options-Based Approach |
title_sort |
comparing mortgage credit risk policies : an options-based approach |
publisher |
World Bank, Washington, DC |
publishDate |
2003-05 |
url |
http://documents.worldbank.org/curated/en/2003/05/2360828/comparing-mortgage-credit-risk-policies-options-based-approach https://hdl.handle.net/10986/18180 |
work_keys_str_mv |
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1807156310705176576 |