On non-negative equity guarantee calculations with macroeconomic variables related to house prices
研究了宏观经济变量对住房反向抵押贷款中非负权益担保估值的影响，使用GARCH-MIDAS模型建模房价回报，发现加入宏观经济变量能提高预测性能并显著影响担保估值。
This article investigates the impact of macroeconomic fundamentals on the valuation of non-negative equity guarantee (NNEG) of equity release mortgages. The house price returns are modeled within the family of multiplicative volatility processes using a two-component GARCH-MIDAS model. The pricing framework is constructed based on a general exponential linear pricing kernel, and the risk-neutral dynamics are derived assuming an autoregressive structure for the macroeconomic variables. Our numerical results indicate that the addition of macroeconomic variables improves the predictive performance of the house price returns and have a significant effect on the NNEG valuation.