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Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
CoFE Discussion Paper No. 02/10
Verlag: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Zusammenfassung: 
Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by simulation of conditional future sample paths. Future conditional quantiles can be obtained to assess the risk of a contract. The method is illustrated by applying it to observed quarterly mortgage rates of the Swiss Union of Raiffeisenbanks for the years 1970 to 2001.
Schlagwörter: 
cap
cap rate
cap insurance
interest rate
mortgage
premium
renewal process
Poisson process
prediction
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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