Home > Research > Publications & Outputs > Participating mortgages and the efficiency of f...

Electronic data

  • Participating Mortgages (PREPRINT)

    Rights statement: The final, definitive version of this article has been published in the Journal, Journal of Banking and Finance 35 (11), 2011, © ELSEVIER.

    Submitted manuscript, 247 KB, PDF document

    Available under license: CC BY-NC-ND

Links

Text available via DOI:

View graph of relations

Participating mortgages and the efficiency of financial intermediation

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published

Standard

Participating mortgages and the efficiency of financial intermediation. / Ebrahim, Shahid; Shackleton, M B; Wojakowski, R M.

In: Journal of Banking and Finance, Vol. 35, No. 11, 11.2011, p. 3042-3054.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

APA

Vancouver

Author

Ebrahim, Shahid ; Shackleton, M B ; Wojakowski, R M. / Participating mortgages and the efficiency of financial intermediation. In: Journal of Banking and Finance. 2011 ; Vol. 35, No. 11. pp. 3042-3054.

Bibtex

@article{9075389b2e4542f4aeb849488ea8097d,
title = "Participating mortgages and the efficiency of financial intermediation",
abstract = "This paper establishes a basic framework to study three different variants of Participating Mortgages (PMs). We obtain results for Shared Appreciation Mortgages (SAMs), Shared Income Mortgages (SIMs) and Shared Equity Mortgages (SEMs) in closed-form. We illustrate our findings with examples that show PMs are also attractive in an environment where prepayment can occur. Finally we conclude with the public policy implications of employing PMs as workout loans, especially post sub-prime crisis. We argue that by facilitating better risk sharing, PMs offer a means to enhance the efficiency and resiliency of the financial system.",
keywords = "Participating mortgage, Shared appreciation mortgage, Shared income mortgage, Shared equity mortgage, Profit caps and floors, Prepayment risk intensity, Mortgage, Loan, Household, Household finance, Real estate, Pricing, Housing, Foreclosure, Subprime solution, Crisis",
author = "Shahid Ebrahim and Shackleton, {M B} and Wojakowski, {R M}",
note = "The final, definitive version of this article has been published in the Journal, Journal of Banking and Finance 35 (11), 2011, {\textcopyright} ELSEVIER.",
year = "2011",
month = nov,
doi = "10.1016/j.jbankfin.2011.04.008",
language = "English",
volume = "35",
pages = "3042--3054",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "11",

}

RIS

TY - JOUR

T1 - Participating mortgages and the efficiency of financial intermediation

AU - Ebrahim, Shahid

AU - Shackleton, M B

AU - Wojakowski, R M

N1 - The final, definitive version of this article has been published in the Journal, Journal of Banking and Finance 35 (11), 2011, © ELSEVIER.

PY - 2011/11

Y1 - 2011/11

N2 - This paper establishes a basic framework to study three different variants of Participating Mortgages (PMs). We obtain results for Shared Appreciation Mortgages (SAMs), Shared Income Mortgages (SIMs) and Shared Equity Mortgages (SEMs) in closed-form. We illustrate our findings with examples that show PMs are also attractive in an environment where prepayment can occur. Finally we conclude with the public policy implications of employing PMs as workout loans, especially post sub-prime crisis. We argue that by facilitating better risk sharing, PMs offer a means to enhance the efficiency and resiliency of the financial system.

AB - This paper establishes a basic framework to study three different variants of Participating Mortgages (PMs). We obtain results for Shared Appreciation Mortgages (SAMs), Shared Income Mortgages (SIMs) and Shared Equity Mortgages (SEMs) in closed-form. We illustrate our findings with examples that show PMs are also attractive in an environment where prepayment can occur. Finally we conclude with the public policy implications of employing PMs as workout loans, especially post sub-prime crisis. We argue that by facilitating better risk sharing, PMs offer a means to enhance the efficiency and resiliency of the financial system.

KW - Participating mortgage

KW - Shared appreciation mortgage

KW - Shared income mortgage

KW - Shared equity mortgage

KW - Profit caps and floors

KW - Prepayment risk intensity

KW - Mortgage

KW - Loan

KW - Household

KW - Household finance

KW - Real estate

KW - Pricing

KW - Housing

KW - Foreclosure

KW - Subprime solution

KW - Crisis

U2 - 10.1016/j.jbankfin.2011.04.008

DO - 10.1016/j.jbankfin.2011.04.008

M3 - Journal article

VL - 35

SP - 3042

EP - 3054

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 11

ER -