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| Title: | 可調整利率房貸不動產抵押證券之評價─考慮違約、重新融資與Burnout Effect之提前償還模型 |
| Authors: | 李俊瑞 |
| Contributors: | 廖四郎
呂桔誠
李俊瑞 |
| Date: | 2002 |
| Issue Date: | 2016-05-09 16:30:43 (UTC+8) |
| Abstract: | 自從相關法案通過之後，國內推動資產證券化的腳步逐漸加速，對於不動斬抵押證券﹙Mortgage-Backed Securities，MBS﹚的定價，馬上成為重要的課題，此類金融商品發行與交易，都必須有一明確的價格。然而，MBS與一般債券不同之處在於，其價格不僅僅受到利率變動的影響，未來的現金流量具有不確定性，隨著MBS抵押貸款群組中，借款人提前還款與否，影響著MBS投資人每一期收到的現金流量。所以MBS的定價中，借款人提前償還的行為，定價模型中如何決定提前償還率，也就是提前償還模型如何設定，會影響著MBS的評價結果。
本文不以一般所討論的固定利率房貸作為抵押貸款群組，而針對符合台灣市場情況，探討可調整利率房貸的不動產抵押證券之評價。在提前償還模型的設定上，同時考慮借款人重新融資與違約，所可能造成的提前償還，並進一步考量並且表現出提前償還中Burnout Effect，已誘因函數﹙Incentive Function﹚來估計提前償還率，以期能較符合現實。利用Martingale Asset Pricing Method求得未來每一期現金流量的現值，以Monte Carlo Simulation得到MBS的價格，並以Least Square Method調整誘因函數中的參數設定，使所估計的提前償還率與MBS的評價能更為準確。最後討論每個參數對於MBS價格的影響。
Asset-backed securities (ABS) are going to be shown in Taiwan. The pricing of the Mortgage-backed securities (MBS) will be the basic requirement to underwrite and trade this new financial instrument. In this paper, the valuation method for adjustable-rate mortgage MBS is suitable for Taiwan. Meanwhile, to be more real, the prepayments due to refinance and default are considered, as well as burnout effect. The price of MBS is the sum of the present values of all future cash flows derived from martingale asset pricing method and calculated by Monte Carlo simulation. The adjustment of parameters is based on lease square method for pricing accuracy. The effect of every parameter on MBS price is also discussed in this paper. |
| Reference: | 中文部分
范志仁，「住宅抵押貸款之債權證券化評價～二因子之Hull-White模型
廖柏媛，「不動產抵押貸款證券化之分析與評價」，國立政治大學金融系碩士論文，民國90年
廖咸興、李阿乙、梅建平，「不動產投資概論」，華泰書局，民國88年9月
英文部分
Brunson, Kau and Keenan. “A Fixed-Rate Mortgage Valuation Model in Three State Variables.” The Journal of Fixed Income, June 2001, pp.17-27
Dunn and McConnell. “Valuation of GNMA Mortgage-Backed Securities.” The Journal of Finance, Vol.36, No.3, June 1981, pp.599-616
Green and Shoven. “The Effects of Interest Rates on Mortgage Prepayments.” The Journal of Money, Credit, and Banking, Vol.18, No.1, February 1986, pp.41-59
Hayre, Chaudhary and Young. “Anatomy of Prepayments.” The Journal of Fixed Income, June 2000, pp.19-49
Jegadeesh and Ju. “A Non-Parametric Prepayment Model and Valuation of Mortgage-Backed Securities.” The Journal of Fixed Income, June 2000, pp.50-67
Kariya and Kobayashi. “Pricing Mortgage-Backed Securities (MBS) — A Model Describing the Burnout Effect —.” Asian Pacific Markets 7 (2000)
Kau, Keenan, Muller III and Epperson. “The Valuation and Analysis of Adjustable Rate Mortgages.” Management Science, Vol.36, No.12, December 1990, pp.1417-1431
Kau, Keenan, Muller III and Epperson. “The Generalized Valuation Model for Fixed-Rate Residential Mortgages.” The Journal of Money, Credit, and Banking, Vol.24, No.3, August 1992, pp.279-299
Kau, Keenan, Muller III and Epperson. “Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed- Rate Mortgages.” The Journal of Business, October 1993, pp.595-618
Schwartz and Torous. “Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities.” The Journal of Business, April 1992, pp.221-239
Stanton. “Rational Prepayment and the Valuation of Mortgage-Backed Securities.” The Review of Financial Studies, Fall 1995, Vol.8, No.3, pp.221-239 |
| Description: | 碩士
國立政治大學
金融研究所 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#A2010000398 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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