Comparing Mortgage Credit Risk Policies : An Options-Based Approach

Buckley, Robert ; Karaguishiyeva, Gulmira ; Van Order, Robert ; Vecvagare, Laura

World Bank, Washington, DC

关键词: ASSET PRICES;    ASYMMETRIC INFORMATION;    BANKRUPTCY;    BAUSPARKASSEN;    BONDS;   

DOI  :  10.1596/1813-9450-3047
RP-ID  :  WPS3047

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Buckley, Karaguishiyeva,Van Order, andVecvagare analyze the structure of approaches to mortgagecredit risk that are now being used in a number of OECD andtransition economies. The authors' basic approach is toshow how option pricing models can help measure and evaluatethe risks of various schemes. They find that mortgagedefault insurance can be a cost-effective tool for bothimproving housing affordability and efficiently addressingsome of the rationing that characterizes this market. Whencorrectly structured, as it is in a number of transition andmarket countries, this kind of program can be expected toreduce nonprice rationing at an actuarially fair price. Atthe same time, considerable care must be exercised in thedevelopment of such instruments. Geographical riskdiversification, particularly across borders, can play amajor role in the success of these programs. Suchdiversification could be important not only in smallertransition economies but in EU countries as well.