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2022-10-20 Magnitude Effects of ARMA, Uncertainty, and Macroeconomics on Mortgage Insurance Valuation Models

發佈日期 : 2022-10-05 最後更新日期 : 2022-10-24 公告分類 : 活動與演講

*講 題:Magnitude Effects of ARMA, Uncertainty, and Macroeconomics on Mortgage Insurance Valuation Models

*主講人:張嘉倩 教授(國立高雄科技大學金融資訊系教授)

*時 間:2022年10月20日(四) 12:30-14:30

*地 點:一研102

*線 上:https://reurl.cc/60KrLb

*摘 要:

This paper aims to employ an option-pricing model that considers the effects of the autoregressive moving average (ARMA), economic policy uncertainty, and macroeconomic conditions to derive closed-form formulas of mortgage insurance (MI). When fitting the U.S. housing and mortgage data, our pricing model produces significantly well-fitting MI market quotes. We further design a framework to measure the magnitudes of these three effects on MI valuation. The ARMA effect dominates the uncertainty and macroeconomic effects. On average, ARMA, uncertainty, and macroeconomic effects increase the MI premium rate by 65.173 bps, 14.616 bps, and 12.114 bps, respectively. The magnitude of the uncertainty effect increases rapidly for a higher loan-to-value ratio (LTV), particularly when the LTV exceeds the threshold of 0.8.

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