Post by Sapphire Capital on Aug 29, 2009 9:21:46 GMT 4
Property Derivatives for Managing European Real-Estate Risk
Frank J. Fabozzi
Yale School of Management
Robert J. Shiller
Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance
Radu Tunaru
City University London - Faculty of Finance
August 13, 2009
Yale ICF Working Paper No. 17
Abstract:
Although property markets represent a large proportion of total wealth in developed countries, the real-estate derivatives markets are still lagging behind in volume of trading and liquidity. Over the last few years there has been increased activity in developing derivative instruments that can be utilised by asset managers. In this paper, we discuss the problems encountered when using property derivatives for managing European real-estate risk. We also consider a special class of structured interest rate swaps that have embedded real-estate risk and propose a more efficient way to tailor these swaps.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1448844_code223089.pdf?abstractid=1448844&mirid=1
Frank J. Fabozzi
Yale School of Management
Robert J. Shiller
Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance
Radu Tunaru
City University London - Faculty of Finance
August 13, 2009
Yale ICF Working Paper No. 17
Abstract:
Although property markets represent a large proportion of total wealth in developed countries, the real-estate derivatives markets are still lagging behind in volume of trading and liquidity. Over the last few years there has been increased activity in developing derivative instruments that can be utilised by asset managers. In this paper, we discuss the problems encountered when using property derivatives for managing European real-estate risk. We also consider a special class of structured interest rate swaps that have embedded real-estate risk and propose a more efficient way to tailor these swaps.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1448844_code223089.pdf?abstractid=1448844&mirid=1