Cambridge-UNC Charlotte Symposium 2006 Real Estate Risk Management and Property Derivatives

Cambridge-UNC Charlotte Symposium 2006 Real Estate Risk Management and Property Derivatives J Real Estate Finan Econ (2008) 36:1–4 DOI 10.1007/s11146-007-9076-0 Cambridge-UNC Charlotte Symposium 2006 Real Estate Risk Management and Property Derivatives Editors’ Introduction Richard Buttimer & Kanak Patel Published online: 1 September 2007 Springer Science + Business Media, LLC 2007 . . Keywords Real-estate Risk-management Property derivatives Property Derivatives Patel and Pereira in “Pricing Property Index Linked Swaps with Counterparty Default Risk” extend the existing models for pricing property index linked swaps by incorporating counterparty default risk. In 2005, ABN AMRO bank led the way in the UK to provide two-way prices on property derivatives for all property, and sector based swaps, linked to total return on Investment Property Databank’s All Property Index. A TRS is a bilateral contract between a total return payer, who owns the asset, and a total return receiver, who will enjoy the asset’s cash flows or returns without owning it. Assuming that IPD is the right proxy for a TRA payer’s property asset portfolio, this transaction allows the investor to hedge some of the market risk of real estate portfolio. The authors demonstrate that, in an arbitrage-free world, the TRS payer must charge a spread over the reference interest rate. The spread should account for http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Cambridge-UNC Charlotte Symposium 2006 Real Estate Risk Management and Property Derivatives

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Publisher
Springer US
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1007/s11146-007-9076-0
Publisher site
See Article on Publisher Site

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