IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v10y2004i3p187-202.html
   My bibliography  Save this article

Duration and Convexity of Mortgages in the Context of Real Estate Investment Analysis

Author

Listed:
  • Frank Handforth

Abstract

Executive Summary. A property sale is typically recorded using the contract mortgage loan amount, rather than the estimated market value of the mortgage. This can distort the economic sale price. Modified duration is approached as a measure of the sensitivity of the value of a mortgage to changes in yield. The relationships between modified duration and Macaulay duration and between modified duration and convexity measure are examined. These concepts are extended to mortgage portfolios. Practical examples of duration and convexity calculations and applications are also explored.

Suggested Citation

  • Frank Handforth, 2004. "Duration and Convexity of Mortgages in the Context of Real Estate Investment Analysis," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 10(3), pages 187-202, January.
    • Handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:187-202
    DOI: 10.1080/10835547.2004.12089702
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2004.12089702
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2004.12089702?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repmxx:v:10:y:2004:i:3:p:187-202. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.