Real-Estate Derivatives. From Econometrics to Financial Engineering

Content: Cover
 Real-Estate Derivatives: From Econometrics to Financial Engineering
 Copyright
 Dedication
 PREFACE
 Organization of the Book
 ACKNOWLEDGEMENTS
 CONTENTS
 LIST OF FIGURES
 LIST OF TABLES
 1: An Overview of Real-Estate Prices
 1.1 Introduction
 1.1.1 REAL-ESTATE MARKETS
 US
 UK
 Asian and Pacific countries
 1.2 Residential versus Commercial Property
 1.2.1 CHARACTERISTICS OF RESIDENTIAL PROPERTY
 1.2.2 CHARACTERISTICS OF COMMERCIAL PROPERTY
 1.3 Empirical Characteristics of Real-Estate Prices Time Series
 1.3.1 DETERMINANTS OF COMMERCIAL PROPERTY PRICES 1.4 Summary Points and Further Reading2: A Review of Real-Estate Indices
 2.1 Introduction
 2.2 A Classification of Real-Estate Indices
 2.2.1 TRANSACTION-BASED INDICES
 2.2.2 APPRAISAL-BASED INDICES
 2.3 Main Real-Estate Indices Worldwide
 2.3.1 THE INVESTMENT PROPERTY DATA INDEX
 2.3.2 NCREIF PROPERTY INDEX
 2.3.3 MOODY\'S/RCA COMMERCIAL PROPERTY PRICE INDEX
 2.3.4 S&P CASE-SHILLER INDEX
 2.3.5 RESIDENTIAL PROPERTY INDEX
 2.3.6 HALIFAX HOUSE PRICE INDEX
 2.3.7 NATIONWIDE HOUSE PRICE INDEX
 2.4 Other Indices
 2.5 Summary Points and Further Reading
 3: Financial Modelling for Mortgages 3.1 Introduction3.2 Mortgages
 3.2.1 COMMERCIAL MORTGAGES
 3.2.2 RESIDENTIAL MORTGAGES
 Prime vs. NonconformingMortgages
 A revision of mortgage calculus
 3.3 Main Drivers of Mortgage Rates
 3.3.1 PREPAYMENT RISK
 3.3.2 DEFAULT RISK
 3.3.3 ARREARS
 3.3.4 LOSS SEVERITY
 3.3.5 DRIVERS OF LOSSES FOR NONCONFORMING MORTGAGES
 3.3.6 RISK MANAGEMENT CONSIDERATIONS FOR MORTGAGES
 3.4 An Overview of Prepayment Models
 3.4.1 THE ARCTANGENT MODEL
 3.4.2 THE CHINLOY MODEL
 3.4.3 THE SCHWARTZ AND TOROUS MODEL
 3.4.4 THE GOLDMAN SACHS MODEL (RICHARD AND ROLL, 1989)
 3.4.5 THE MODIFIED GOLDMAN SACHS MODEL 3.4.6 A NUMERICAL EXAMPLE OF USING THE RICHARD AND ROLL MODEL3.4.7 CITIGROUP MODEL
 3.4.8 LEHMAN BROTHERS LOGISTIC REGRESSION MODEL
 3.5 Default Models
 3.5.1 CASE-SHILLER MODEL
 3.6 Supervisory Stress Tests: The OFHEO Experience
 3.7 Summary Points and Further Reading
 3.8 Appendix
 3.8.1 THE LIBOR MARKET MODEL
 3.8.2 THE TWO-FACTOR ADDITIVE GAUSSIAN MODEL
 4: Mortgage Securitization
 Pricing and Risk Management
 4.1 Introduction
 4.2 Mortgage Backed Securities
 4.2.1 BRIEF OVERVIEW
 4.2.2 PRIVATE LABEL
 4.3 Commercial Mortgage Backed Securities
 4.3.1 BRIEF OVERVIEW 4.3.2 MODELLING ISSUES FOR CMBS4.4 Securitization
 4.4.1 FEDERAL AGENCY SECURITIES --
US
 4.4.2 FACTORS INFLUENCING THE MBS PORTFOLIOS
 4.5 Valuation of Mortgage Cash-Flows
 4.5.1 PRICING MBS FRAMEWORK
 4.5.2 BOND-EQUIVALENT MBS YIELD AND THE OAS ADJUSTMENT RATE
 4.6 Balance Guaranteed Swaps
 4.6.1 INDEX AMORTIZING SWAPS
 4.6.2 CAPS, FLOORS, AND SWAPTIONS
 4.6.3 BALANCE GUARANTEED SWAPS
 4.6.4 STRUCTURING OF BGS
 Pricing BGS with swaptions
 Pricing off the lower curve
 Pricing off the upper curve
 Pricing off the middle curve
 Other BGS contracts
 Problems with BGS
 LIBOR-BBR swap