Home > Research > Publications & Outputs > Continuous Workout Mortgages
View graph of relations

Continuous Workout Mortgages

Research output: Contribution to journalJournal article

Published

Standard

Continuous Workout Mortgages. / Shiller, Robert J. ; Wojakowski, Rafal; Ebrahim, Shahid; Shackleton, Mark.

In: NBER Working Papers, 05.2011.

Research output: Contribution to journalJournal article

Harvard

APA

Shiller, R. J., Wojakowski, R., Ebrahim, S., & Shackleton, M. (2011). Continuous Workout Mortgages. NBER Working Papers, [17007]. http://www.nber.org/papers/w17007

Vancouver

Shiller RJ, Wojakowski R, Ebrahim S, Shackleton M. Continuous Workout Mortgages. NBER Working Papers. 2011 May. 17007.

Author

Shiller, Robert J. ; Wojakowski, Rafal ; Ebrahim, Shahid ; Shackleton, Mark. / Continuous Workout Mortgages. In: NBER Working Papers. 2011.

Bibtex

@article{184feeeeaa824f919b6dbf0d4ec10261,
title = "Continuous Workout Mortgages",
abstract = "Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable {"}workout proportion{"} and adjustable {"}workout threshold.{"} These results are of importance as they not only help in the understanding of the mechanics of CWMs and estimating key contract parameters, but they also provide guidance on how to enhance the resilience of the financial architecture and mitigate systemic risk. ",
keywords = "Continuous Workout Mortgage, Insurance, Real estate, Pricing, House prices, household finance, Price bubble, Case-Shiller house price index, Annuity, Continuous time finance, Subprime solution, Finance and the Good Society",
author = "Shiller, {Robert J.} and Rafal Wojakowski and Shahid Ebrahim and Mark Shackleton",
year = "2011",
month = may,
language = "English",
journal = "NBER Working Papers",
issn = "0898-2937",

}

RIS

TY - JOUR

T1 - Continuous Workout Mortgages

AU - Shiller, Robert J.

AU - Wojakowski, Rafal

AU - Ebrahim, Shahid

AU - Shackleton, Mark

PY - 2011/5

Y1 - 2011/5

N2 - Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable "workout proportion" and adjustable "workout threshold." These results are of importance as they not only help in the understanding of the mechanics of CWMs and estimating key contract parameters, but they also provide guidance on how to enhance the resilience of the financial architecture and mitigate systemic risk.

AB - Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable "workout proportion" and adjustable "workout threshold." These results are of importance as they not only help in the understanding of the mechanics of CWMs and estimating key contract parameters, but they also provide guidance on how to enhance the resilience of the financial architecture and mitigate systemic risk.

KW - Continuous Workout Mortgage

KW - Insurance

KW - Real estate

KW - Pricing

KW - House prices

KW - household finance

KW - Price bubble

KW - Case-Shiller house price index

KW - Annuity

KW - Continuous time finance

KW - Subprime solution

KW - Finance and the Good Society

M3 - Journal article

JO - NBER Working Papers

JF - NBER Working Papers

SN - 0898-2937

M1 - 17007

ER -