Valuing mortgage insurance contracts in emerging market economies

Ashok Bardhan, Rasa Karapandza, Branko Urošević

Research output: Contribution to journalArticle

Abstract

We develop a new option-based method for the valuation of mortgage insurance contracts in closed form in an economy where agents are risk neutral. While the proposed valuation method is general and can be used in any market, it may be particularly useful in emerging market economies where other existing methods may be either inappropriate or are too difficult to implement because of the lack of relevant data. As an application, we price a typical Serbian government-backed mortgage insurance contract.

Original languageEnglish (US)
Pages (from-to)9-20
Number of pages12
JournalJournal of Real Estate Finance and Economics
Volume32
Issue number1
DOIs
StatePublished - Feb 1 2006

Fingerprint

market economy
insurance
valuation
market
economy
lack
contract
method
Insurance contract
Emerging market economies
Mortgages
Government
Valuation methods

Keywords

  • Black-scholes formula
  • Default rate
  • Emerging markets
  • Mortgage insurance
  • Prepayment rate

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

Cite this

Valuing mortgage insurance contracts in emerging market economies. / Bardhan, Ashok; Karapandza, Rasa; Urošević, Branko.

In: Journal of Real Estate Finance and Economics, Vol. 32, No. 1, 01.02.2006, p. 9-20.

Research output: Contribution to journalArticle

Bardhan, Ashok ; Karapandza, Rasa ; Urošević, Branko. / Valuing mortgage insurance contracts in emerging market economies. In: Journal of Real Estate Finance and Economics. 2006 ; Vol. 32, No. 1. pp. 9-20.
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