IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-89824-7_54.html

Estimating Regulatory Capital Requirements for Reverse Mortgages: An International Comparison

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Iván de la Fuente

    (University of Alcala)

  • Eliseo Navarro

    (University of Alcala)

  • Gregorio Serna

    (University of Alcala)

Abstract

In this paper, we estimate the value of the no-negative-equity guarantee (NNEG) embedded in reverse mortgage contracts and develop a method for calculating regulatory capital requirements according to Basel II and III. We employ a Monte Carlo simulation method that assumes an ARMA-EGARCH process for house prices in four European countries: France, Germany, Spain and the United Kingdom. The results show different estimated values for the NNEG among countries. Specifically, the value of the NNEG tends to be related to the level of the interest rates, the rental yield and house price volatility in each country, as well as the age of the borrower. Different values for value-at-risk and the expected shortfall among countries are also found, which depend on the volatility of each country’s house price series.

Suggested Citation

  • Iván de la Fuente & Eliseo Navarro & Gregorio Serna, 2018. "Estimating Regulatory Capital Requirements for Reverse Mortgages: An International Comparison," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 301-304, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_54
    DOI: 10.1007/978-3-319-89824-7_54
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-89824-7_54. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.