Titlebook: New Methods in Fixed Income Modeling; Fixed Income Modelin Mehdi Mili,Reyes Samaniego Medina,Filippo di Pietr Book 2018 Springer Internatio

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Estimating the No-Negative-Equity Guarantee in Reverse Mortgages: International Sensitivity Analysishe reverse mortgage provider faces higher risks, for higher roll-up rates, for higher rental yield rates, for the female population, and for relatively young borrowers. Moreover, the country with the highest estimated value of the NNEG is Spain, the country most affected by the 2008 financial crisis.

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Institutional Versus Retail Investors’ Behavior Around Credit Rating Newsjustments around downgrades for both segments. Rating-contingent regulation induces larger intensity responses in the institutional segment. Finally, we observe trading anticipation before downgrades that is consistent with the existence of informed institutional investors.

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The Term Structure Under Non-linearity Assumptions: New Methods in Time Seriesns associated with the traditional approaches used in time series applications on term structure. The use of FCVAR represents a novel procedure to solve the linearity restrictions. Finally, this application allows the economic policies that derive from its results to be more appropriate for the objectives of the design of monetary policies.