Reverse Mortgages and Interest Rate Risk
开发了一个估值模型来量化固定利率反向抵押贷款中的利率风险，发现其风险远大于普通债券或常规抵押贷款，甚至高出几个数量级。
We develop and apply a valuation model that quantifies the interest rate risk inherent in fixed‐rate reverse mortgages. Consistent with intuition, our results show that the interest rate risk of a reverse mortgage is greater than that of either a typical coupon bond or a regular mortgage. Somewhat surprisingly, we find that this difference in interest rate risk is extremely large. In fact, the interest rate risk of a reverse mortgage often is several orders of magnitude greater than the interest rate risk of other fixed‐income securities.