政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34007

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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/34007

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34007

Title:	評價擔保房貸憑證-使用延伸樹法 Pricing CMO by Extended Tree Method
Authors:	楊松峰
Contributors:	廖四郎楊松峰
Keywords:	擔保房貸憑證 CMO
Date:	2006
Issue Date:	2009-09-17 19:04:56 (UTC+8)
Abstract:	本研究以Kishimoto(2004)提出之延伸樹法(ET Method)結合Hull-White利率三元樹建構出一節點未重合之三元樹(Non-Recombining Trinomial Tree)，利用此三元樹對CMO中之序列還本類組(Sequential Pay)、純本金/純利息類組(PO/IO)、計畫性還本類組(PAC)之各分券進行評價，並進行各分券價格對各參數之敏感度分析。我們發現除了純利息類組(IO)外，外在提前還款率上升使得CMO各分券之價格上升；此外，期初零息債券殖利率曲線水平往上移動使得CMO中除了純利息類組(IO)外，其他分券價格皆下降；至於利率均數回歸係數變大則主要使得除純本金類組(PO)外之CMO大部分分券價格上升；最後，即期利率波動度變大使得除了純本金類組(PO)之外的CMO各分券價格皆下降。
Reference:	1. Kishimoto Naoki 2004, ”Pricing Path-Dependent Securities by the Extended Tree Method”. Management Science Vol 50 1235-1248. 2. McConnell John.J and Manoj Singh 1993,”Valuation and Analysis of Collateralized Mortgage Obligations”. Management Science Jun 1993; 39,6. 3. McConnell John.J and Manoj Singh 1994,”Rational Prepayment and the Valuation of Collateralized Mortgage Obligations”. Journal of Finance No 3 July 1994. 4. Hull J.C and A.White 1994,”Numerical Procedures for Implementing Term Structure Models I：Single-Factor Model ”. Journal of Derivatives Vol 2 1994. 5. Hull J.C and A.White 1993,”One-Factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities”.Journal of Financial and Quantitative Analysis 28 235-254 1993. 6. 高心怡(2000),「結合Hull-White利率模型與PHM提前償還模型評價CMO利率衍生性商品」，國立台灣大學財務金融研究所碩士論文。 7. 陳文達、李阿乙、廖咸興合著之「資產證券化：理論與實務」2002年八月
Description:	碩士國立政治大學金融研究所 94352020 95
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0094352020
Data Type:	thesis
Appears in Collections:	[金融學系] 學位論文

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