The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages
The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages
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无负股权担保与股权释放抵押的估值
作者：
K. Dowd;D. Blake;D. Buckner;J. Fry
我们概述了股权解除抵押贷款中的无负股权担保以及具有此类担保的股权解除抵押贷款的估值过程。说明性估值是根据Black '76看跌期权定价公式和基于Cairns-Blake-Dowd（CBD）死亡率模型家族的M5、M6和M7死亡率版本的死亡率预测提供的。结果显示，无负股权担保的估值相对于贷款金额较高，并受到相当大的模型风险，但股权解除抵押贷款的估值是稳健的死亡率模型的选择。研究结果对行业实践和审慎监管产生了重大影响。
We outline the valuation process for a No-Negative Equity Guarantee in an Equity Release Mortgage loan and for an Equity Release Mortgage that has such a guarantee. Illustrative valuations are provided based on the Black ’76 put pricing formula and mortality projections based on the M5, M6 and M7 mortality versions of the Cairns–Blake–Dowd (CBD) family of mortality models. Results indicate that the valuations of No-Negative Equity Guarantees are high relative to loan amounts and subject to considerable model risk but that the valuations of Equity Release Mortgage loans are robust to the choice of mortality model. Results have significant ramifications for industry practice and prudential regulation.