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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/53154


    Title: 住宅抵押貸款提前清償風險與違約風險之分析與評價:理論與實證(I)
    Other Titles: Pricing Mortgage Value and Analysis of Prepayment and Default Risks: Theory and Empirical Evidence
    Authors: 廖四郎
    Contributors: 國立政治大學金融系
    行政院國家科學委員會
    Keywords: 評價;證券化;抵押貸款;縮減式模型
    Prepayment;Default;Threshold Model;Reduced-Form Model
    Date: 2006
    Issue Date: 2012-06-25 15:16:25 (UTC+8)
    Abstract: 自2002 年七月金融資產證券化條例通過後,台灣的金融資產證券化開始蓬勃發展。然而,住宅抵押貸款證券的評價因為需考慮到貸款人的提前清償及違約風險造成現金流量之不確定性,使其加深評價過程之複雜性。因此,如何合理評估抵押貸款證券的價值實為一值得深入探討之課題,本研究即針對此議題進行研究。傳統文獻在評定住宅抵押貸款證券的價值主要可區分為兩種方法:結構模型(structural-form approach)及縮減式模型 (reduced-form approach)。其評價的封閉解只存在於結式模型,但在此模型下的評價存在著違約與提前清償條件的設定問題,這將對評價的準確性造成很大的影響,在實務的應用上有一定的限制。本研究將從縮減式模型的角度,引入Jarrow (2001)的概念,推導出縮減模型下住宅抵押貸款證券的封閉解。透過此方法不但可推得一個較一般化的模型,同時可透過市場資料估計違約與提前清償的強度(intensity rates)。因此,本研究可提供實務界一個更具可行性與效率性之抵押貸款證券化評價模型。再者,在得到封閉解後本研究將對住宅抵押貸款證券進行比較靜態分析,比較諸如:利率、房價、所得、利率波動性、房價波動性、所得波動性及其間相關係數等對於住宅抵押貸款價值的影響,可作為理論研究實務界投資組合管理與避險分析之參考。
    The possibility of early termination complicates the pricing procedure of a mortgage and hedging efficiency. Thus, most mortgage market practitioners and academic researchers are concerned with the investigation on prepayment and default risks by theoretical models and empirical analyses. Since different borrowers’ characteristics will determine their termination decisions at different circumstances, the suboptimal exercise of the termination option in a mortgage is a common phenomenon. This study intends to use the mortgage data to analyze the prepayment and default risks by the threshold model. Through the threshold estimates of different variables, we can analyze the changes in the effects of the important variables on the intensities of prepayment and default at below and above the threshold values. We further embed the concept of the threshold into our theoretical pricing model. Using this model we can appraise mortgage more accurately. Furthermore, we also perform our model by using the mortgage historical data and analyze the changes inn the mortgage value based on OLS model and threshold model with different threshold variables.
    Relation: 應用研究
    學術補助
    研究期間:9508 ~ 9607
    研究經費:649仟元
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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