Property Derivatives for Managing European Real-Estate Risk

37 Pages Posted: 15 Aug 2009

See all articles by Frank J. Fabozzi

Frank J. Fabozzi

EDHEC Business School

Robert J. Shiller

Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance

Radu Tunaru

University of Sussex

Multiple version iconThere are 2 versions of this paper

Date Written: August 13, 2009

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

JEL Classification: G15, G20

Suggested Citation

Fabozzi, Frank J. and Shiller, Robert J. and Tunaru, Radu, Property Derivatives for Managing European Real-Estate Risk (August 13, 2009). Yale ICF Working Paper No. 09-17, Available at SSRN: https://ssrn.com/abstract=1448844 or http://dx.doi.org/10.2139/ssrn.1448844

Frank J. Fabozzi (Contact Author)

EDHEC Business School ( email )

France
215 598-8924 (Phone)

Robert J. Shiller

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3708 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://www.econ.yale.edu/~shiller/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States
203-432-3708 (Phone)

Yale University - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3708 (Phone)
203-432-6167 (Fax)

Radu Tunaru

University of Sussex ( email )

Jubilee
Brighton, BN1 9SL
United Kingdom

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