| Title: |
Duration and Convexity of Mortgages in the Context of Real Estate Investment Analysis. |
| Authors: |
Handforth, Frank |
| Source: |
Journal of Real Estate Portfolio Management; Sep-Dec2004, Vol. 10 Issue 3, p187-202, 16p |
| Subject Terms: |
REAL estate business; REAL estate investment; MORTGAGE loans; MARKET value; INVESTMENTS; FAIR value |
| Abstract: |
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. [ABSTRACT FROM AUTHOR] |
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| Database: |
Complementary Index |