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| Author: | Fabozzi, F.J. Shiller, R.J. Tunaru, R.S. |
| Title: | Property derivatives for managing European real-estate risk |
| Journal: | European Financial Management
2010 : JAN, VOL. 16:1, p. 8-26 |
| Index terms: | assets property markets derivative securities swaps interest rates risk Europe |
| Language: | eng |
| Abstract: | The real-estate derivatives markets are lagging behind in volume of trading and liquidity despite property markets represent a large proportion of total wealth in developed countries. This paper deals with the problems encountered when using property derivatives for managing European real-estate risk. Considered is a special class of structured interest rate swaps with embedded real-estate risk. A more efficient way to tailor these swaps is proposed. |
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