Securitisation of crossover risk in reverse mortgages

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      <subfield code="a">Reverse mortgage (RM) products are growing increasingly popular in many developed countries. This article designs a tranching security to deal with longevity and house price risks for RM products. The securitisation structure for RM products, the collateralised reverse mortgage obligation (CRMO), is similar to that for the collateralised debt obligation (CDO).</subfield>
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