Öz
Bu çalışmada ters ipotek sistemine menkul kıymetleştirme işlemi uygulandığında getiri elde edilip edilemeyeceği incelenmiştir. Çalışmada gelecekte ABD’deki ters mortgage faiz tahminlerini simüle edebilmek için 2012-2022 dönemi verileri “investing.com”, Moody's, Federal Reserve Bank (FED) ve Dünya Bankası veri tabanlarından elde edilmiştir. Araştırma Matlab paket programı kullanılarak Monte Carlo Simülasyon yöntemiyle reserve mortgage’a dayalı menkul kıymet varlık havuzunu etkileyen girdi değişkenlerinin farklı kombinasyonları simüle edilerek, gelecekte elde edilecek getiri, toplam faiz gideri, toplam dağıtılacak faiz tutarlarının minimum ve maksimum değerleri tahmin edilmiştir. Çalışmanın bulgularına göre reserve mortgage sistemine menkul kıymetleştirme uygulandığında getiri elde edildiği sonucuna varılmıştır. Ayrıca Monte Carlo Simülasyonu yönteminin reserve mortgage’a dayalı menkul kıymet varlık havuzu değerlendirilmesinde kullanışlı bir yöntem olduğu ve menkul kıymetleştirme işlemi sayesinde, reverse mortgage’nin uygulanmasında yer alan varlıkların likit hale dönüştürülmesinin ekonomiye önemli katkılar sağlayacağı düşünülmektedir.
Anahtar Kelimeler
Tersine Mortgage dayalı menkul kıymetler Varlık havuzu Monte Carlo Simülasyonu Faiz Gideri
Kaynakça
- Abdioğlu, H. (2012). Tersine mortgage ve tersine mortgage piyasasında risk yönetimi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 3(5), 209-225.
- Boehm, T. P., & Ehrhardt, M. C. (1994). Reverse mortgages and interest rate risk. Real Estate Economics, 22(2), 387-408.
- Castellani, D. (2018). Mortgage‐backed securitization and SME lending during the financial and economic crisis: Evidence from the Italian cooperative banking system. Economic Notes: Review of Banking, Finance and Monetary Economics, 47(1), 187-222.
- Davidoff, T., Gerhard, P., & Post, T. (2017). Reverse mortgages: What homeowners (don’t) know and how it matters. Journal of Economic Behavior & Organization, 133, 151-171.
- Fabozzi, F. J., Davis, H. A., & Choudhry, M. (2006). Introduction to structured finance (Vol. 148). John Wiley & Sons.
- Fuster, A., Lucca, D. O., & Vickery, J. I. (2022). Mortgage-Backed Securities. Swiss Finance Institute Research Paper No. 22-13, Available at SSRN: https://ssrn.com/abstract=4026234 or http://dx.doi.org/10.2139/ssrn.4026234
- Heo, Y. C., An, S., & Hong, B. E. (2016). Reverse mortgage as an income stabilizer for the elderly in Korea. Asian Social Work and Policy Review, 10(1), 103-112.
- Landis, S. (2001). Full speed reverse. Barron’s, 81(2), 28.
- Lorenzo, E. D., Piscopo, G., Sibillo, M., & Tizzano, R. (2022). Reverse mortgage and risk profile awareness: Proposals for securitization. Applied Stochastic Models in Business and Industry, 38(2), 353-369.
- Lorenzo, E. D., Piscopo, G., Sibillo, M., & Tizzano, R. (2020). Reverse mortgages: Risks and opportunities. In Demography of Population Health, Aging and Health Expenditures (pp. 435-442). Springer, Cham.
- McConnell, J. J., & Buser, S. A. (2011). The origins and evolution of the market for mortgage-backed securities. Annual Review of Financial Economics, 3, 173-192.
- Martinez-Lacoba, R., Pardo-Garcia, I., & Escribano-Sotos, F. (2021). The reverse mortgage: A tool for funding long-term care and increasing public housing supply in Spain. Journal of Housing and the Built Environment, 36(2), 367-391.
- Nakajima, M., & Telyukova, I. A. (2017). Reverse mortgage loans: A quantitative analysis. The Journal of Finance, 72(2), 911-950.
- Simkins, B., & Simkins, R. (2013). Energy finance and economics: Analysis and valuation, risk management, and the future of energy (Vol. 606). John Wiley & Sons.
- Xiang, W. M., & Tan, J. (2017). Option pricing model of reverse mortgage loan-based on the data of Chongqing. Journal of Discrete Mathematical Sciences and Cryptography, 20(6-7), 1351-1356.
- Whait, R. B., Lowies, B., Rossini, P., McGreal, S., & Dimovski, B. (2019). The reverse mortgage conundrum: Perspectives of older households in Australia. Habitat International, 94, 102073.
- Wu, H. M., & Deng, C. (2010). A study of prepayment risks in China's mortgage-backed securitization. China Economic Journal, 3(3), 313-326.
- Fred Economic Research. (2022). All transactions home price index for the United States. https://fred-stlouisfed-org.translate.goog/series/USSTHPI?_x_tr_sl=en&_x_tr_tl=tr&_x_tr_hl=tr&_x_tr_pto=sc (Date of Access 24.9.2023).
- Moody’s. (2022). United States - House price index. https://www.economy.com/united-states/house-price-index, (Date of Access 24.10.2022).
- Yüzbaşıoğlu, N. (2020). Kaynak sağlama aracı olarak menkul kıymetleştirme ve Türkiye'deki son gelişmeler. Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(9), 114-132.
- World Bank. (2000). World Development Indicators database. https://data.worldbank.org/, (Date of Access 25.8.2023).
Öz
This study examines whether returns can be obtained when the securitization process is applied to the reverse mortgage system. To simulate future interest rate forecasts for reverse mortgages in the United States, data for the period 2012-2022 was obtained from "investing.com," Moody's, the Federal Reserve Bank (FED), and the World Bank databases. Using the Matlab software package, various combinations of input variables affecting the asset pool of reverse mortgages were simulated using the Monte Carlo Simulation method. This allowed for the estimation of the minimum and maximum values of future returns, total interest expenses, and total interest amounts to be distributed. The findings of the study suggest that returns are obtained when securitization is applied to the reverse mortgage system. Additionally, the Monte Carlo Simulation method is deemed useful for evaluating the asset pool of reverse mortgages, and it is believed that securitization can significantly contribute to the economy by converting the assets involved in the implementation of reverse mortgages into liquid assets.
Anahtar Kelimeler
Reserve Mortgage-Backed Securities Pool of Assets Monte Carlo Simülation interest Exponse
Kaynakça
- Abdioğlu, H. (2012). Tersine mortgage ve tersine mortgage piyasasında risk yönetimi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 3(5), 209-225.
- Boehm, T. P., & Ehrhardt, M. C. (1994). Reverse mortgages and interest rate risk. Real Estate Economics, 22(2), 387-408.
- Castellani, D. (2018). Mortgage‐backed securitization and SME lending during the financial and economic crisis: Evidence from the Italian cooperative banking system. Economic Notes: Review of Banking, Finance and Monetary Economics, 47(1), 187-222.
- Davidoff, T., Gerhard, P., & Post, T. (2017). Reverse mortgages: What homeowners (don’t) know and how it matters. Journal of Economic Behavior & Organization, 133, 151-171.
- Fabozzi, F. J., Davis, H. A., & Choudhry, M. (2006). Introduction to structured finance (Vol. 148). John Wiley & Sons.
- Fuster, A., Lucca, D. O., & Vickery, J. I. (2022). Mortgage-Backed Securities. Swiss Finance Institute Research Paper No. 22-13, Available at SSRN: https://ssrn.com/abstract=4026234 or http://dx.doi.org/10.2139/ssrn.4026234
- Heo, Y. C., An, S., & Hong, B. E. (2016). Reverse mortgage as an income stabilizer for the elderly in Korea. Asian Social Work and Policy Review, 10(1), 103-112.
- Landis, S. (2001). Full speed reverse. Barron’s, 81(2), 28.
- Lorenzo, E. D., Piscopo, G., Sibillo, M., & Tizzano, R. (2022). Reverse mortgage and risk profile awareness: Proposals for securitization. Applied Stochastic Models in Business and Industry, 38(2), 353-369.
- Lorenzo, E. D., Piscopo, G., Sibillo, M., & Tizzano, R. (2020). Reverse mortgages: Risks and opportunities. In Demography of Population Health, Aging and Health Expenditures (pp. 435-442). Springer, Cham.
- McConnell, J. J., & Buser, S. A. (2011). The origins and evolution of the market for mortgage-backed securities. Annual Review of Financial Economics, 3, 173-192.
- Martinez-Lacoba, R., Pardo-Garcia, I., & Escribano-Sotos, F. (2021). The reverse mortgage: A tool for funding long-term care and increasing public housing supply in Spain. Journal of Housing and the Built Environment, 36(2), 367-391.
- Nakajima, M., & Telyukova, I. A. (2017). Reverse mortgage loans: A quantitative analysis. The Journal of Finance, 72(2), 911-950.
- Simkins, B., & Simkins, R. (2013). Energy finance and economics: Analysis and valuation, risk management, and the future of energy (Vol. 606). John Wiley & Sons.
- Xiang, W. M., & Tan, J. (2017). Option pricing model of reverse mortgage loan-based on the data of Chongqing. Journal of Discrete Mathematical Sciences and Cryptography, 20(6-7), 1351-1356.
- Whait, R. B., Lowies, B., Rossini, P., McGreal, S., & Dimovski, B. (2019). The reverse mortgage conundrum: Perspectives of older households in Australia. Habitat International, 94, 102073.
- Wu, H. M., & Deng, C. (2010). A study of prepayment risks in China's mortgage-backed securitization. China Economic Journal, 3(3), 313-326.
- Fred Economic Research. (2022). All transactions home price index for the United States. https://fred-stlouisfed-org.translate.goog/series/USSTHPI?_x_tr_sl=en&_x_tr_tl=tr&_x_tr_hl=tr&_x_tr_pto=sc (Date of Access 24.9.2023).
- Moody’s. (2022). United States - House price index. https://www.economy.com/united-states/house-price-index, (Date of Access 24.10.2022).
- Yüzbaşıoğlu, N. (2020). Kaynak sağlama aracı olarak menkul kıymetleştirme ve Türkiye'deki son gelişmeler. Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(9), 114-132.
- World Bank. (2000). World Development Indicators database. https://data.worldbank.org/, (Date of Access 25.8.2023).
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | İş Sistemleri (Diğer) |
| Bölüm | Araştırma Makalesi |
| Yazarlar | |
| Yayımlanma Tarihi | 31 Mart 2024 |
| Gönderilme Tarihi | 29 Ekim 2023 |
| Kabul Tarihi | 30 Mart 2024 |
| Yayımlandığı Sayı | Yıl 2024 Cilt: 7 Sayı: 1 |
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