House Price Risk Models for Banking and Insurance Applications

Katja Hanewald and Michael Sherris ()
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Michael Sherris: School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales

No 201118, Working Papers from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales

Abstract: The recent international credit crisis has highlighted the significant exposure that banks and insurers, especially mono-line credit insurers, have to residential house price risk. This paper provides an assessment of risk models for residential property for applications in banking and insurance including pricing, risk management, and portfolio management. Risk factors and heterogeneity of house price returns are assessed at a postcode-level for house prices in the major capital city of Sydney, Australia, over the period 1979 to 2011.

Keywords: House price risk; statistical models; risk management (search for similar items in EconPapers)
JEL-codes: G21 G22 G32 L85 R31 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2011-11
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