Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 刘民教授 (金融学系) |
| 周应峰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/S0378-4266(99)00100-4 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/4WOS source URL
其它资讯
摘要In Hong Kong, 35% of residential mortgage loans are adjustable rate mortgages with variable tenor (VRT). That is, with a change in interest rates, the loan adjusts its maturity and principal payment such that the monthly installment remains the same. In other words, instead of bearing a volatility on monthly payments as in a fixed-tenor variable payment (VRP) mortgage, VRT mortgagors bear interest rate risk by bearing a tenor risk. In this paper, we analyze the valuation of this type of mortgages and the results are compared with the conventional VRP mortgages. We find VRT loans are less expensive from a borrower's perspective than VRP loans, but the difference between the loans becomes less significant if a tenor cap is added to the VRT loan. (C) 2000 Elsevier Science B.V. All rights reserved.
着者Chow YF, Huang C, Liu M
期刊名称Journal of Banking and Finance
出版年份2000
月份11
日期1
卷号2http://aims.cuhk.edu.hk/converis/portal/Publication/4
期次11
出版社ELSEVIER SCIENCE BV
页次1809 - 1829
国际标準期刊号0378-http://aims.cuhk.edu.hk/converis/portal/Publication/4266
电子国际标準期刊号1872-6372
语言英式英语
关键词adjustable rate mortgages; tenor cap; variable tenor
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
