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House Price Risk Models for Banking and Insurance Applications

  • Katja Hanewald

    ()

    (School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

  • Michael Sherris

    ()

    (School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

The 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.

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File URL: http://cepar.edu.au/media/56088/house_price_modelling_20111118.pdf
File Function: First version, 2011
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Paper 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.

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Length: 37 pages
Date of creation: Nov 2011
Date of revision:
Handle: RePEc:asb:wpaper:201118
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  1. Shiller, Robert J & Weiss, Allan N, 1999. "Home Equity Insurance," The Journal of Real Estate Finance and Economics, Springer, vol. 19(1), pages 21-47, July.
  2. 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.
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  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Thomas Davidoff, 2009. "Housing, Health, and Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(1), pages 31-52.
  14. Brent W. Ambrose & Richard J. Buttimer Jr., 1998. "Embedded Options in the Mortgage Contract," Zell/Lurie Center Working Papers 305, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
  15. 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.
  16. 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.
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