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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/29848
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/29848


    Title: 以卜瓦松迴歸方法探討房屋抵押貸款提前清償及違約決策
    Authors: 黃建智
    Contributors: 姜堯民
    黃建智
    Keywords: 提前清償
    違約
    卜瓦松迴歸
    比例轉機模型
    prepayment
    default
    poisson regression
    Proportional hazard model
    Date: 2003
    Issue Date: 2009-09-11 16:43:45 (UTC+8)
    Abstract: 過去國內之抵押貸款提前清償與逾期還款之相關研究,在實證研究上最主要利用邏輯斯迴歸或是比例轉機模型( Proportional hazard model )分析影響一般住宅抵押貸款人提前清償與逾期還款之因素,並估計一般住宅抵押貸款人提前清償之機率。本文選擇採用研究抵押貸款時,國內未曾使用之卜瓦松迴歸( Poisson regression model )來估計比例轉機模型假設下影響提前清償與違約變數之參數,以研究影響抵押貸款借款人之提前償還與違約因素。

    本研究結合比例轉機模型與卜瓦松迴歸模型,目的在結合兩模型之優點,在處理時間相依之共變數效率提高,並且在處理多重時間尺度的方程式較偏最大概似估計法直接,以得到較佳的研究成果。另外,過去國內提前清償與違約之文獻中並未加入利率走勢之變數,本研究加入再融資利率對31∼90天期商業本票利率之比率與再融資利率波動性兩變數,以考慮利率走勢對貸款者提前清償及違約行為之影響。

    模型中的解釋變數包括地區、季節、抵押貸款年齡、貸款成數、貸款人年齡、性別、婚姻狀況、教育程度、職業、屋齡、房屋坪數、所得、貸款金額、月付額對薪資比、再融資利率/31∼90天期商業本票利率、再融資利率波動性等十六項。實證結果在提前清償部份,顯著正向之變數有貸款年齡、屋齡、房屋坪數、所得、月付額與薪資比,顯著負向之變數包括季節、再融資利率對31∼90天期商業本票利率之比率、貸款金額。在違約部份,顯著正向之變數包括貸款年齡、貸款成數、年齡、所得、月付額與薪資比、再融資利率對31∼90天期商業本票利率之比率;顯著負向之變數包括季節、教育程度及貸款金額。
    Reference: 一、中文部份
    1. 施孟隆、游清芳及李佳珍,l999年,在「Logit模式應用於信用卡信用風險審核系統之研究-以國內某銀行信用卡中心為例」,金融財務,第4期10月,PP.85~103。
    2. 李桐豪、呂美慧,2000年,「金融機構房貸客戶授信評量模式—以Logistic迴歸分析」,台灣金融財務季刊,第一輯第一期9月,PP.1~20。
    3. 謝明瑞,民國91年6月3日,「台灣實施不動產抵押貸款債權證券化之問題」,財團法人國家政策研究基金會國政研究報告。
    4. 董家雄,民國87年6月,「序列抵押擔保債權證券(CMOs)-結構與風險之研究」,國立中正大學財務金融研究所碩士論文。
    5. 魏勝育,民國91年,「台灣壽險業從事房屋抵押貸款之風險研究」,國立政治大學風險管理與保險學系碩士論文。
    6. 陸文傑,民國89年,「抵押貸款證券之評價—Implied Prepayment之應用」,國立臺灣大學財務金融學研究所碩士論文。
    7. 林建州,民國90年9月,在「銀行個人消費信用貸款授信風險評估模式之研究」國立中山大學財務管理學系研究所碩士論文。
    8. 李桂榮,民國92年,「自用住宅購屋貸款特性與逾期還款關係之研究」,國立高雄第一科技大學金融營運所碩士論文。
    9. 盧俊益,民國93年1月,「以SOM應用於壽險業不動產抵押貸款風險之研究」,國立高雄第一科技大學風險管理與保險所碩士論文。
    10. 黃文啟,民國91年,「借款人特性與不動產抵押貸款提前償還之關係」,國立政治大學財務管理學系碩士論文。
    11. 郭姿伶,民國89年6月,「住宅貸款之提前清償與逾期還款」,國立中正大學財務金融研究所碩士論文。
    12. 林幸宜,民國91年,「金融資產證券化:論金融機構住宅抵押貸款證券化」,銘傳大學財務金融學系碩士在職專班論文。
    13. 黃至民,民國91年,「利率可調整之不動產抵押貸款證券之評價與分析─ CIR利率模型與邏輯斯蹄提前還本模型之結合」,國立台灣大學財務金融學研究所碩士論文。
    14. 劉展宏,「我國購屋貸款提前清償機率之研究」,中華民國住宅學會第十一屆年會論文集,民國91年1月,頁46-60。
    15. 蘇哲培,民國91年6月,「不動產抵押權證券之風險值評估-比例轉機模型之應用」,朝陽科技大學財務金融系碩士論文。
    16. 吳奕賢,民國91年6月,「房屋抵押貸款保險與費率評價之研究」,朝陽科技大學財務金融系碩士論文。
    17. 王琮生,民國92年6月,「房貸保險之費率結構分析-競爭風險模型之應用」,朝陽科技大學財務金融系碩士論文。
    二、英文部份
    1. Archer, Wayne and David C. Ling. "Pricing Mortgage-Backed Securities: Integrating Optimal Call And Empirical Models Of Prepayment," American Real Estate and Urban Economics Association, 1993, v21(4), 373-404.
    2. Archer, Wayne R. and David C. Ling and Gary A. McGill, 1997, “Demographic versus Option Driven Mortgage Termination”, Journal of Housing Economics, Vol.6, PP.137-163.
    3. Brennan, Michael J. and Eduardo S. Schwartz, 1977, “Savings Bonds, Retractable Bonds and Callable Bonds,” Journal of Financial Economics 5, pp.66-68.
    4. Buser, Stephen A. and Patric H. Hendershott, 1984, “Pricing Default-Free Fixed Rate Mortgages,” Housing Finance Review 3(4), pp.405-29.
    5. Canner, Gabriel B. and A. Woolley Cyrnak,1986, Determinant of Consumer Credit Card Usage Patterns, Journal of Retail Marketing, Spring, pp9-18.
    6. Cunningham, Donald F. and Charles A. Capone, Jr., 1990, “The Relative Termination Experience of Adjustable to Fix-Rate Mortgage”, The Journal of Finance, Vol.XLV, No.5, PP.1687-1703.
    7. Dunn, Kenneth B. and John J. McConnell, June 1981, “Valuation of GNMA Mortgage-Backed Securities,” Journal of Finance 36, pp.599-616.
    8. Eduardo S. Schwartz and Walter N. Torous,1993,”Mortgage Prepayment and Default Decisions: A Poisson Regression Approach”, Journal of the American Real Estate and Urban Economics Association, V21, 4:pp.431-439.
    9. Fabozzi, Frank J., 1996, “Bond Markets, Analysis and Strategies,” Prentice Hall International Editions, pp.246-48.
    10. Foster, C., and R. Van Order, (1984), “An Opiton-based Model of Mortgage Default,” Housing Finance Review, Vol.3, No.4, pp.351-372.
    11. Giliberto S.Michael and Thibodeau Thomas G.1989 “Modeling Conve-ntional Residential Mortgage Refinances”, The Journal of Real Estate Finance and Economics, Vol.2, No.4, pp.285-299.
    12. Giliberto, S. Michael, and David C. Ling. 1992. An Empirical Investigation of the Contingent-Claims Approach to Pricing Residential Mortgage Debt. Journal of the American Real Estate and Urban Economics Association 20(3):393–426.
    13. Green, Jerry and John B. Shoven. "The Effects Of Interest Rates On Mortgage Prepayments," Journal of Money, Credit and Banking, 1986, v18(1), 41-59.
    14. Hakim, Sam Ramsey, 1992, “Regional Diversity, Borrower Characteristics and Mortgage Prepayment”,Review of Financial Economics, Vol.1, No.2, PP.17-29.
    15. Kau, James B., Donald C. Keenan, Walter J. Muller III and James F. Epperson, 1992, “A Generalized Valuation Model for Fixed-Rate Residential Mortgages,” Journal of Money, Credit, and Banking 24(3), pp.279-99.
    16. Lawrence, E. C., L. D. Smith, and M. Rhoades, (1992), “An Analysis of Default Risk in Mobile Home Credit,” Journal of Banking and Finance, Vol.16, pp.299-312.
    17. Lu Chiuling and Raymond So, 1999, “Price Discovery in the Taipei Residential Real Estate Market,” Forthcoming, Review of Pacific Basin Financial Market and Policies 2.
    18.Phillips, Richard A., Eric Rosenblatt and James H. Vanderhoff, 1996, “The Probability of Fixed- and Adjustable-Rate Mortgage Termination,” Journal of Real Estate Finance and Economics 13, pp.95-104.
    19.Schwartz, Eduardo S. and Walter N. Torous, 1989, “Prepayment and the Valuation of Mortgage-Backed Securities,” Journal of Finance 44(2), pp.375-92.
    20. Schwartz, Eduardo S. and Walter N. Torous, 1993, “Mortgage Prepayment and Default Decisions: A Poisson Regression Approach,” Journal of the American Real Estate and Urban Economics Association, 1993, Vol21, 4, pp.431-449.
    21. Smith, L. D., S. M. Sanchez, and E. C. Lawrence, (1996), “A Comprehensive Model for Managing Credit Risk on Home Mortgage Portfolios,” Decision Sciences, Vol.27, No.2, pp.291-317.
    22. VanderHoff, J., (1996), “Adjustable and Fixed Rate Mortgage Termination, Option Values and Local Market Conditions: An Empirical Analysis,” Real Estate Economics, Vol.24 No.3, pp.379-406.
    23. Vendell, K. D., and T. Thibodeau, (1985), “Estimation of Mortgage Default Using Disaggregate Loan History Data,” AREUEA Journal Vol.15, No.3, pp.292-317.
    24. Yezer, A. M. J., F. P. Robert, and P. T. Robert, (1994),
    “Bias in Estimates of Discrimination and Default in Mortgage Lending: The Effects of Simultaneity and Self-Selection,” Journal of Real Estate Finance and Economics, Vol.9, No.3, pp.197-216.
    25. Zorn, P. M., and J. L. Michael, (1989), “Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data,” AREUEA Journal, Vol.17, No1, pp.118-136.
    Description: 碩士
    國立政治大學
    企業管理研究所
    91355020
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091355020
    Data Type: thesis
    Appears in Collections:[企業管理學系] 學位論文

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