House Price Risk Models for Banking and Insurance Applications
AbstractThe recent international credit crisis has highlighted the significant exposure that banks and insurers, especially mono-line credit insurers, have to residential house price risk. This paper provides an assessment of risk models for residential property for applications in banking and insurance including pricing, risk management, and portfolio management. Risk factors and heterogeneity of house price returns are assessed at a postcode-level for house prices in the major capital city of Sydney, Australia, over the period 1979 to 2011.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales in its series Working Papers with number 201118.
Length: 37 pages
Date of creation: Nov 2011
Date of revision:
Contact details of provider:
Postal: Ground Floor, East Wing, UNSW Kensington Campus, Sydney NSW 2052
Phone: (+61)-2-9931 9202
Fax: (+61)-2 9385 6956
Web page: http://www.cepar.edu.au
More information through EDIRC
House price risk; statistical models; risk management;
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Steven C. BOURASSA & Martin HOESLI & Vincent S. PENG, 2002.
"Do Housing Submarkets Really Matter?,"
FAME Research Paper Series
rp58, International Center for Financial Asset Management and Engineering.
- Steven Bourassa & Donald Haurin & Jessica Haurin & Martin Hoesli & Jian Sun, 2007.
"House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics,"
07-03, Ohio State University, Department of Economics.
- Steven C. Bourassa & Donald R. Haurin & Jessica L. Haurin & Martin Hoesli & Jian Sun, 2009. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(2), pages 259-278.
- Steven C. BOURASSA & Donald R. HAURIN & Jessica L. HAURIN & Martin HOESLI & Jian SUN, 2005. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," FAME Research Paper Series rp160, International Center for Financial Asset Management and Engineering.
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2010. "Predicting House Prices with Spatial Dependence: A Comparison of Alternative Methods," Journal of Real Estate Research, American Real Estate Society, vol. 32(2), pages 139-160.
- Ming-Chi Chen & Chia-Chien Chang & Shih-Kuei Lin & So-De Shyu, 2010. "Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 399-422.
- Cottet, Remy & Knight, Eva, 2011. "Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan," Working Papers 1 OMEWP, University of Sydney Business School, Discipline of Business Analytics.
- Robert J. Shiller & Allan N. Weiss, 1994.
"Home Equity Insurance,"
Cowles Foundation Discussion Papers
1074, Cowles Foundation for Research in Economics, Yale University.
- Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "Explaining House Prices in Australia: 1970-2003," The Economic Record, The Economic Society of Australia, vol. 81(s1), pages S96-S103, 08.
- Chen, Hua & Cox, Samuel H. & Wang, Shaun S., 2010. "Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 371-384, April.
- Bradford Case & John Clapp & Robin Dubin & Mauricio Rodriguez, 2004. "Modeling Spatial and Temporal House Price Patterns: A Comparison of Four Models," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 167-191, 09.
- Bourassa, Steven C. & Hamelink, Foort & Hoesli, Martin & MacGregor, Bryan D., 1999. "Defining Housing Submarkets," Journal of Housing Economics, Elsevier, vol. 8(2), pages 160-183, June.
- Thomas Davidoff, 2009. "Housing, Health, and Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(1), pages 31-52.
- Ambrose, Brent W & Buttimer, Richard J, Jr, 2000.
"Embedded Options in the Mortgage Contract,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 21(2), pages 95-111, September.
- James Hansen, 2009. "Australian House Prices: A Comparison of Hedonic and Repeat-Sales Measures," The Economic Record, The Economic Society of Australia, vol. 85(269), pages 132-145, 06.
- Atif Mian & Amir Sufi, 2009. "The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis," The Quarterly Journal of Economics, MIT Press, vol. 124(4), pages 1449-1496, November.
- Eden Hatzvi & Glenn Otto, 2008. "Prices, Rents and Rational Speculative Bubbles in the Sydney Housing Market," The Economic Record, The Economic Society of Australia, vol. 84(267), pages 405-420, December.
- Scott E. Harrington, 2009. "The Financial Crisis, Systemic Risk, and the Future of Insurance Regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 785-819.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elena Capatina).
If references are entirely missing, you can add them using this form.