2021 •
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model
Authors: Fen-Ying Chen, Sharon S. Yang, Hong-Chih Huang
Venue: Quantitative Finance
Type: Publication
Abstract: Writing non-negative equity guarantees (NNEGs) is the main method used to deal with the risks of equity release products in the United Kingdom. The existing empirical literature indicates the poten...
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