Asset Liability Management (ALM) for housing corporations is based on stochastic scenario models for important risk and return drivers such as interest and inflation rates, construction costs and sales prices of houses. Given the situation of the housing corporation (current real estate portfolio, asset management strategy, loan portfolio, etc.), these variables directly influence the risk and return profile of these organizations at both short and long horizons.

The scenario characteristics are usually based on long term historical time series of relevant indices. For sales prices of houses, different indices exist with different specification levels: national versus local level and all house types together versus per house types (from apartments to detached houses). In this paper we analyze the impact of the choice of the specification level of house price indices on the risk - return profile of Dutch housing corporations. We conclude that the impact differs strongly depending on the region and the composition of the portfolio. For the regions we have analyzed, especially for the greater Amsterdam area the risk profile is underestimated when the national house price index is used.

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