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| Title: | 擔保房貸憑證(CMOs)之評價：應用類神經網路預測提前還款率
Pricing Collateralized Mortgage Obligations: Using Neural Network to Forecast Prepayment Rate |
| Authors: | 張憲明
Chang, Hsien-Ming |
| Contributors: | 林士貴
陳亭甫
Lin, Shih-Kuei
Chen, Ting-Fu
張憲明
Chang, Hsien-Ming |
| Keywords: | 房屋抵押貸款證券化
擔保房貸憑證(CMOs)
提前還款
類神經網路
對數常態遠期利率(Lognormal Forward LIBOR Model, LFM)市場模型
Mortgage securities
Collateralized mortgage obligations (CMOs)
Prepayment
Neural network
Lognormal forward LIBOR model |
| Date: | 2018 |
| Issue Date: | 2018-09-03 15:48:23 (UTC+8) |
| Abstract: | 本研究主要透過使用類神經網路的方法來預測擔保房貸憑證(CMOs)之提前還款風險並加以評價，並且與另外兩種模型進行比較，PSA/CPR模型和美國官方(Office Thrift Supervision; OTS)30年期固定利率住宅抵押貸款動態提前清償模型，其中PSA/CPR模型為靜態模型，OTS模型為動態模型，另外由於實證個案現金流與LIBOR利率有關，因此採用的利率模型為對數常態遠期利率(Lognormal Forward LIBOR Model, LFM)市場模型，且因為擔保房貸憑證(CMOs)涉及提前還款風險以及眾多風險，並無法找出封閉解，因此採用蒙地卡羅模擬法來作為評價模型。透過蒐集Fannie Mae公開的房屋抵押貸款資料來做實證，實證結果有以下貢獻，第一，類神經網路預測提前還款率均方誤差(MSE)小於PSA/CPR模型的均方誤差，所以類神經網路在預測提前還款率的方面優於PSA/CPR模型。第二類神經網路模型得出個案的發行機構低估發行當下所設定之提前還款率，而動態模型的OTS模型也得到相同結果，綜合以上兩點，得到類神經網路模型預測提前還款率的評價結果比PSA/CPR模型更接近真實價格。
This paper used the Neural Network to forecast the prepayment rate of Collateralized Mortgage Obligations (CMOs), and then pricing it. Comparing the Neural Network Model with other prepayment model: PSA/CPR (static) Model and Office Thrift Supervision Model. Because the empirical analysis of this paper is related to LIBOR, we use LFM to simulate then LIBOR. CMOs involves a lot of risk like prepayment risk, so there is no close form of CMOs’ price, and we use Monte Carlo Method to pricing. The data for Neural Network is from Fannie Mae. There are some conclusions as following. First, the MSE of Neural Network is lower than MSE of the PSA or CPR model. Second, the prepayment rate of Neural Network is higher than the prepayment rate of PSA or CPR model, and the prepayment rate of OTS model is higher than the prepayment rate of PSA or CPR model. Finally, the price of Neural Network is closer to the real value than the price of the PSA or CPR model. |
| Reference: | 中文文獻
[1] 王琮生 (2003)，「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班碩士論文。
[2] 何澤蘭 (1999)，「台灣不動產抵押債券證券化之推行及評價」， 碩士論文，國立台灣大學財務金融研究所碩士論文。
[3] 李俊民 (2006)，「不動產抵押貸款證券化之評價─以中國信託商業銀行特殊目的信託抵押貸款受益證券為例」，世新大學財務金融研究所碩士論文。
[4] 林宗漢 (2003)，「應用存活分析於不動產抵押債權證券評價之研究」，朝陽科技大學財務金融系碩士班碩士論文。
[5] 高心怡 (2000)，「結合Hull-White 利率模型與PHM 提前清償模型評價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。
[6] 張繼文 (2010)，「擔保房貸憑證 (CMOs) 評價---以BGM利率模型為例」 政治大學金融研究所學位論文
[7] 黃玉霜, 周清佳, & 林哲群 (2003)，「應用動態提前清償模型評價住宅抵押貸款證券」住宅學報, 中華民國住宅學會, 12(1), 43-56.
[8] 黃世富 (2006)，「考慮違約損失下CMO商品的風險溢酬－應用One Factor Gaussian Copula 模型」，國立中正大學財務金融研究所碩士論文。
英文文獻
[1] Ambrose, B. W. and Michael, L. (2001), “Prepayment Risk in Adjustable Rate Mortgages Subject to Initial Year Discounts: Some New Evidence,” Real Estate Economics, Vol. 29, No. 2, pp.305-327.
[2] Dunn, K. B. and McConnell, J. J. (1981), “A Compare of Alternative Models for Pricing GNMA Mortgage-Back Securities,” Journal of Finance Vol.36, pp.471-484.
[3] Dunn, K. B. and McConnell, J. J. (1981), “Valuation of GNMA Mortgage-Backed Securities,” Journal of Finance, Vol.36, pp.599-616.
[4] Deng, Y. H., Quigley, J. M. and Van Order, R. (1996), “Mortgage Default and Low Down Payment Loans: The Costs of Public Subsidy,” Regional Science and Urban Economics, Vol. 26, pp.263-285.
[5] Deng, Y. H. (1997), “Mortgage Termination: An Empirical Hazard Model with Stochastic Term Structure,” Journal of Real Estate Finance and Economics, Vol.14, pp.309-331.
[6] Green, J. and Shoven, J. (1986), “The Effects of Interest Rates on Mortgage Prepayments,” Journal of Money, Credit, and Banking, Vol.18, pp.41-59.
[7] Kau, J. B., Keenan, D. C., Muller, W. J. Ⅲ and Epperson, J. F. (1993), “Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages,” Journal of Business, Vol. 66, No.4, pp.595-618.
[8] Kau, J. B., Hilliard, J. E. and Slawson, V. C. (1998), “Valuing Prepayment and Default in a Fixed-Rate Mortgage: A Binomial Options Pricing Technology,” Real Estate Economics, Vol. 26, No.3, pp.431-468.
[9] Riksen, R., Spreij, P. J. C. and den Iseger, P. W. (2017), “Using Artificial Neural Networks in the Calculation of Mortgage Prepayment Risk.”
[10] Schwartz, E. S. and Torous, W. N. (1989), “Prepayment and the Valuation of Mortgage-Backed Securities,” Journal of Finance 44, 375 - 392.
[11] Waller, B. and Aiken, M. (1998), “Predicting Prepayment of Residential Mortgages: a Neural Network Approach,” International Journal of Information and Management Sciences, 9, 37-44. |
| Description: | 碩士
國立政治大學
金融學系
105352032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105352032 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.MB.029.2018.F06 |
| Appears in Collections: | [金融學系] 學位論文
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