- Oxford Handbooks in Finance
- Series Editor's Preface
- List of Figures
- List of Tables
- List of Contributors
- Non-Technical Introduction
- Technical Introduction
- Default Recovery Rates and Lgd in Credit Risk Modelling and Practice
- A Guide to Modelling credit term Structures
- Statistical data mining procedures in generalized cox regressions
- An Exposition Of CDS Market Models
- Single‐and Multi‐Name Credit Derivatives: Theory and Practice
- Marshall‐Olkin Copula‐Based Models
- Contagion Models in Credit Risk
- Markov Chain Models of Portfolio Credit Risk
- Counterparty Risk in Credit Derivative Contracts
- Credit Value Adjustment in the Extended Structural Default Model
- A New Philosophy of the Market
- An EVT Primer for Credit Risk
- Saddlepoint methods in portfolio theory
- Quantitative Aspects of the collapse of the parallel banking system
- Home Price Derivatives and Modelling
- A Valuation Model for ABS Cdos
- Name Index
- Subject Index
Abstract and Keywords
This article discusses the nature of the housing prices and their dynamics. More specifically, it presents a qualitative and quantitative overview of the formation of the housing price bubble in the United States and its subsequent collapse. The article argues that home prices are stochastic in nature and proposes their modelling in two complementary ways: (a) based on pure empirical considerations; and (b) based on general risk-neutral arguments using the fact that several purely financial home price indices are traded at various exchanges.
Alexander Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He is responsible for developing new efficient valuation models for mortgages, derivatives, and other financial instruments and related consulting work. Alex has developed a suite of interest rate models that can be instantly calibrated to swap rates and a swaption volatility matrix. He proposed and developed the Active‐Passive Decomposition (APD) mortgage model facilitated by a backward induction OAS pricing. In a joint effort with Andrew Davidson, Alex developed a new concept of prepay risk‐ and‐option‐adjusted valuation. This approach introduced a new valuation measure, prOAS, and a notion of risk‐neutral prepay modelling that explained many phenomena of the MBS markets. Alex's current work focuses on the valuation of instruments exposed to credit risk (‘Credit OAS’), home price modelling, and projects related to the ongoing MBS crisis. Prior to AD&Co, Alex worked as the Director of Treasury Research and Analytics at The Dime Bancorp (the Dime) in New York, taught at The City College of NY, and worked at Ryan Labs, a fixed income research and money management company. Alex is a frequent speaker at the Mathematical Finance Seminar (NYU, Courant Institute), AD&Co client conferences, and has published a number of papers. He holds an MS in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University.
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