دانلود مقاله ISI انگلیسی شماره 80380
ترجمه فارسی عنوان مقاله

طراحی قرارداد رهن و ایمن سازی ریسک سیستماتیک

عنوان انگلیسی
Mortgage contract design and systemic risk immunization ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80380 2016 12 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 45, May 2016, Pages 320–331

ترجمه کلمات کلیدی
نظریه ثابت ایمن سازی درآمد کلاسیکی - طراحی قرارداد رهن؛ مدیریت ریسک سیستماتیک
کلمات کلیدی انگلیسی
Classical fixed income immunization theory; Mortgage contract design; Systemic risk management
پیش نمایش مقاله
پیش نمایش مقاله  طراحی قرارداد رهن و ایمن سازی ریسک سیستماتیک

چکیده انگلیسی

This paper provides theoretical results for the design of contracts used in the market for residential household mortgages and mortgage securities. Critical elements in the problem of immunizing systemic risk through efficient contract design are identified. Using an extension of classical immunization theory, this paper demonstrates that systemic risk of long amortization mortgage contracts is reduced when term to maturity of the contract at origination is significantly less than the amortization period. In addition, incorporating prepayment and limited recourse default options into the mortgage contract increases systemic risk when compared with full recourse mortgage contracts having yield maintenance prepayment penalties. The theoretical results are used to evaluate the systemic risk management problems that have plagued the US mortgage funding system.