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Home Equity Insurance: A Pilot Project
Andrew Caplin / Barry Nalebuff / Elisabeth Prentice / Eric Hangen / John Rodkin / Matthew Spiegel / Tom Skinner / William Goetzmann
housing markets / insuranceResource overview

Home Equity Insurance: A Pilot Project

Paper2006

by Andrew Caplin, Barry Nalebuff, Elisabeth Prentice, Eric Hangen, John Rodkin, Matthew Spiegel, Tom Skinner, William Goetzmann

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housing marketsinsurancereal estate

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  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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