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Property Derivatives for Managing European Real-Estate Risk

Author

Listed:
  • Frank Fabozzi
  • Robert Shiller
  • Radu Tunaru

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.

Suggested Citation

  • Frank Fabozzi & Robert Shiller & Radu Tunaru, 2009. "Property Derivatives for Managing European Real-Estate Risk," Yale School of Management Working Papers amz2652, Yale School of Management, revised 01 Sep 2009.
    • Handle: RePEc:ysm:wpaper:amz2652
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    File URL: https://repec.som.yale.edu/icfpub/publications/2652.pdf
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    References listed on IDEAS

    as
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