Property Derivatives for Managing European Real-Estate Risk
AbstractAlthough property markets represent a large proportion of total wealth in developed countries, the real-estate derivatives markets are still lagging behind in volume of trading and liquidity. Over the last few years there has been increased activity in developing derivative instruments that can be utilised by asset managers. In this paper, we discuss the problems encountered when using property derivatives for managing European real-estate risk. We also consider a special class of structured interest rate swaps that have embedded real-estate risk and propose a more efficient way to tailor these swaps.
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number amz2652.
Date of creation: 01 Aug 2009
Date of revision: 01 Sep 2009
real-estate markets; property derivatives; balance guaranteed swaps;
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