Related papers: Mortgages and Refinancing
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We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acceptance set is breached. We develop the corresponding…
With costs and risks increasing for investors and home buyers alike, additional analysis of the housing market is required to help individuals make the right choice. In addition to traditional market analysis, other aspects such as the…
In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
In this paper, we compare different mitigation policies when housing investments are irreversible. We use a general equilibrium model with non-homothetic preferences and an elaborate setup of the residential housing and energy production…
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a…
We look at discovering the impact of market microstructure on equitability for market participants at public exchanges such as the New York Stock Exchange or NASDAQ. Are these environments equitable venues for low-frequency participants…
Unfairness in mortgage lending has created generational inequality among racial and ethnic groups in the US. Many studies address this problem, but most existing work focuses on correlation-based techniques. In our work, we use the…
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…
Resetting a stochastic process has been shown to expedite the completion time of some complex tasks, such as finding a target for the first time. Here we consider the cost of resetting by associating to each reset a cost, which is a…
Assessing the costs of climate change is essential to finding efficient pathways for the transition to a net-zero emissions economy, which is necessary to stabilise global temperatures at any level. In evaluating the benefits and costs of…
Student loans occupy a significant portion of the federal budget, as well as, the largest financial burden in terms of debt for graduates. This paper explores data-driven approaches towards understanding the repayment of such loans. Using…
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…
We study financial networks where banks are connected by debt contracts. We consider the operation of debt swapping when two creditor banks decide to exchange an incoming payment obligation, thus leading to a locally different network…
The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
We consider a financial market in which the short rate is modeled by a continuous time Markov chain (CTMC) with a finite state space. In this setting, we show how to price any financial derivative whose payoff is a function of the state of…
In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…