Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis

DOI10.1007/S10287-014-0203-0zbMath1349.91291OpenAlexW2023445305MaRDI QIDQ2356167

Almas Naseem, R. Mark Reesor

Publication date: 29 July 2015

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-014-0203-0

zbMATH Keywords

simulationCIR processfixed-rate mortgagere-advanceable mortgagevariable-rate mortgage

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Computing the endogenous mortgage rate without iterations
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• Securitization of Longevity Risk in Reverse Mortgages

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