Allan N. Weiss
Case Shiller Weiss Inc.
NBER Working Papers and Publications
|May 1998||Moral Hazard in Home Equity Conversion|
with Robert J. Shiller: w6552
Home equity conversion as presently constituted or proposed usually does not deal well with the potential problem of moral hazard. Once home-owners know that the risk of poor market performance of their homes is borne by investors, they have an incentive to neglect to take steps to maintain the homes' values. They may thus create serious future losses for the investors. A calibrated model for assessing this moral hazard risk is presented that is suitable for a number of home equity conversion forms: 1) reverse mortgages, 2) home equity insurance, 3) shared appreciation mortgages, 4) housing partnerships, 5) shared equity mortgages and 6) sale of remainder interest. Modifications of these forms involving real estate price indices are proposed that might deal better with the problem of mo...
Published: Shiller, Robert J. and Alan N. Weiss. "Moral Hazard In Home Equity Conversion," Real Estate Economics, 2000, v28(1,Spring), 1-31. citation courtesy of
|April 1995||Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate|
with Karl E. Case, Robert J. Shiller: w5078
Evidence is shown, using US foreclosure data by state 1975-93, that periods of high default rates on home mortgages strongly tend to follow real estate price declines or interruptions in real estate price increase. The relation between price decline and foreclosure rates is modelled using a distributed lag. Using this model, holders of residential mortgage portfolios could hedge some of the risk of default by taking positions in futures or options markets for residential real estate prices, were such markets to be established.
Published: Journal of Housing Research, vol. 7, no. 2: 243-258 (1996).
|August 1994||Home Equity Insurance|
with Robert J. Shiller: w4830
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A menu of choices for the design of such policies is presented here, and conceptual issues are discussed. Choices include pass-through futures and options, in which the insurance company in effect serves as a retailer to homeowners of short positions in real estate futures markets or of put options on real estate. Another choice is a life-event-triggered insurance policy, in which the homeowner pays regular fixed insurance premia and is entitled to a claim if both there is a sufficient decline in the real estate price index and a specified life event (such as a move beyond a certain geographic...
Published: The Journal of Real Estate Finance and Economics, Vol. 19, no. 1 (July 1999): pp. 21-47. citation courtesy of