Property Derivatives for Managing European Real-Estate Risk

Frank Fabozzi, Robert Shiller and Radu Tunaru

Yale School of Management Working Papers from Yale School of Management

Abstract: Although property markets represent a large proportion of total wealth in developed countries, the real-estate derivatives markets are still lagging behind in volume of trading and liquidity. Over the last few years there has been increased activity in developing derivative instruments that can be utilised by asset managers. In this paper, we discuss the problems encountered when using property derivatives for managing European real-estate risk. We also consider a special class of structured interest rate swaps that have embedded real-estate risk and propose a more efficient way to tailor these swaps.

Keywords: real-estate markets; property derivatives; balance guaranteed swaps (search for similar items in EconPapers)
Date: 2009-08-01, Revised 2009-09-01
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:wpaper:amz2652

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