Valuing the Default Risk of Jeonse Deposit Obligations

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This analysis combines option pricing with default risk assessment in jeonse deposits, highlighting key factors influencing risk outcomes.

The study estimates the default risk value of jeonse deposits by modeling the process as a European put option.
Using a binomial option pricing model, it incorporates factors like housing price and interest rates.
A sensitivity analysis reveals how variable factors impact the default risk of these housing contracts.
Findings offer policy implications for designing insurance premiums and regulatory frameworks for jeonse deposits.

Jun et al. (2025) studied this question.

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This analysis combines option pricing with default risk assessment in jeonse deposits, highlighting key factors influencing risk outcomes.