Comparing Mortgage Credit Risk Policies : An Options-Based Approach

Buckley, Karaguishiyeva,Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models...

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Main Authors:	Buckley, Robert, Karaguishiyeva, Gulmira, Van Order, Robert, Vecvagare, Laura
Format:	Policy Research Working Paper
Language:	English en_US
Published:	World Bank, Washington, DC 2014
Subjects:	ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING GUARANTEES METHODOLOGY HOUSEHOLDS TRANSACTION COSTS SUBSIDIES URBAN DEVELOPMENT
Online Access:	http://documents.worldbank.org/curated/en/2003/05/2360828/comparing-mortgage-credit-risk-policies-options-based-approach http://hdl.handle.net/10986/18180

id	okr-10986-18180
recordtype	oai_dc
spelling	okr-10986-181802021-04-23T14:03:41Z Comparing Mortgage Credit Risk Policies : An Options-Based Approach Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT Buckley, Karaguishiyeva,Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models can help measure and evaluate the risks of various schemes. They find that mortgage default insurance can be a cost-effective tool for both improving housing affordability and efficiently addressing some of the rationing that characterizes this market. When correctly structured, as it is in a number of transition and market countries, this kind of program can be expected to reduce nonprice rationing at an actuarially fair price. At the same time, considerable care must be exercised in the development of such instruments. Geographical risk diversification, particularly across borders, can play a major role in the success of these programs. Such diversification could be important not only in smaller transition economies but in EU countries as well. 2014-05-05T20:49:01Z 2014-05-05T20:49:01Z 2003-05 http://documents.worldbank.org/curated/en/2003/05/2360828/comparing-mortgage-credit-risk-policies-options-based-approach http://hdl.handle.net/10986/18180 English en_US Policy Research Working Paper;No. 3047 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English en_US
topic	ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT
spellingShingle	ASSET PRICES ASYMMETRIC INFORMATION BANKRUPTCY BAUSPARKASSEN BONDS CAPITAL REQUIREMENTS COMPARATIVE ADVANTAGE CONTINGENT LIABILITIES CONTINGENT LIABILITY COVERAGE CREDIT INSURANCE CREDIT POLICIES CREDIT RATING CREDIT RATIONING CREDIT RISK CREDIT RISKS DEBT DEBT FINANCING DEFAULT RISK DEPOSIT INSURANCE DIVIDENDS DOWN PAYMENTS EMPIRICAL EVIDENCE FACE VALUE FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS GOVERNMENT EXPENDITURES HOMEOWNERSHIP HOUSEHOLD INCOME HOUSING HOUSING AFFORDABILITY HOUSING MARKETS INFORMATION PROBLEMS INSURANCE INSURANCE COMPANIES INSURERS LAWS LEVEL PLAYING FIELD MARKET ECONOMIES MARKET INSTITUTIONS MATURITIES MORTGAGE MORTGAGE CREDIT MORTGAGE CREDIT INSURANCE MORTGAGE DEFAULT MORTGAGE DEFAULT INSURANCE MORTGAGE INSURANCE MORTGAGE INSURERS MORTGAGE LENDING MORTGAGE LOAN MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGES NEGATIVE EQUITY POLICY RESEARCH PREMIUMS PRESENT VALUE PRICE RATIONING PRICING MODELS PRIVATE INSURANCE PROGRAMS PUBLIC INSURANCE PUBLIC POLICY RATES RESERVES RISK ALLOCATION RISK DIVERSIFICATION SAVINGS SAVINGS BANKS TRANSITION ECONOMIES TRANSPORT URBAN DEVELOPMENT MORTGAGES CREDIT TRANSACTIONS LOANS LENDING PUBLIC POLICY GUARANTEES METHODOLOGY PREMIUMS HOUSEHOLDS TRANSACTION COSTS PUBLIC POLICY SUBSIDIES URBAN DEVELOPMENT Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura Comparing Mortgage Credit Risk Policies : An Options-Based Approach
relation	Policy Research Working Paper;No. 3047
description	Buckley, Karaguishiyeva,Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models can help measure and evaluate the risks of various schemes. They find that mortgage default insurance can be a cost-effective tool for both improving housing affordability and efficiently addressing some of the rationing that characterizes this market. When correctly structured, as it is in a number of transition and market countries, this kind of program can be expected to reduce nonprice rationing at an actuarially fair price. At the same time, considerable care must be exercised in the development of such instruments. Geographical risk diversification, particularly across borders, can play a major role in the success of these programs. Such diversification could be important not only in smaller transition economies but in EU countries as well.
format	Publications & Research :: Policy Research Working Paper
author	Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura
author_facet	Buckley, Robert Karaguishiyeva, Gulmira Van Order, Robert Vecvagare, Laura
author_sort	Buckley, Robert
title	Comparing Mortgage Credit Risk Policies : An Options-Based Approach
title_short	Comparing Mortgage Credit Risk Policies : An Options-Based Approach
title_full	Comparing Mortgage Credit Risk Policies : An Options-Based Approach
title_fullStr	Comparing Mortgage Credit Risk Policies : An Options-Based Approach
title_full_unstemmed	Comparing Mortgage Credit Risk Policies : An Options-Based Approach
title_sort	comparing mortgage credit risk policies : an options-based approach
publisher	World Bank, Washington, DC
publishDate	2014
url	http://documents.worldbank.org/curated/en/2003/05/2360828/comparing-mortgage-credit-risk-policies-options-based-approach http://hdl.handle.net/10986/18180
_version_	1764439093800861696

Comparing Mortgage Credit Risk Policies : An Options-Based Approach

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