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    题名: 反向房屋抵押貸款之證券化- 四元樹模型之應用
    Securitization of the crossover risk in the reverse mortgage
    作者: 苗芫綺
    贡献者: 黃泓智
    苗芫綺
    关键词: 反向房屋抵押貸款
    臨界風險
    最高可貸成數
    證券化
    reverse mortgages
    crossover risk
    maximum level of insurance
    securitization
    日期: 2009
    上传时间: 2010-12-08 01:57:17 (UTC+8)
    摘要: 承做反向房屋抵押貸款有許多的風險，包括有利率風險、房屋價值風險和死亡率風險，而當反向房屋抵押貸款的貸款餘額超過抵押房屋的價值時，則反向房屋抵押貸款的發行機構將會面臨了臨界風險。本文中的利率模型採用Black-Derman-Toy模型(BDT)來生成未來短期利率的機率分布；而房價模型方面則採用Cox-Ross-Rubinstein模型(CRR) ，死亡率模型為Lee-Carter模型。另外，本篇使用了三維度的四元樹模擬方法，觀察在短期利率模型與房屋價值模型相關的條件下，貸放機構將會面臨的預期損失。另外，對於承做反向房屋抵押貸款的貸放機構而言，最高可貸成數是由貸放機構未來預期損失的淨現值總合等於未來貸款保費的淨現值總合所求得。然而，當貸放機構未來所遭遇的實質損失大於預期損失時，貸放機構則將有未預期損失，因此為了移轉此非預期損失，我們設計了一個證券化的模型，希望藉由發行債券的方式，將此反向房屋抵押貸款發生在臨界點之後的臨界風險移轉給資本市場中的債券持有人。
    When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices and mortality rates. Under the consideration of housing price risk, interest rate risk and longevity risk, we provide a three-dimensional lattice method which simultaneously captures the evolution of housing price and short-term interest rate to numerically calculate the fair valuation of reverse mortgages. For a mortgage reverse insurer, the maximum level of reverse mortgage insurance is determined by setting the present value of total expected claim losses equal to the present value of the premium charges. However, when the actual loss is higher than the expected loss, the insurer will incur an unexpected loss. To offset the potential loss, we also design a crossover bond, the payoff structure of which is related to the actual losses and expected losses, to transfer the unexpected loss into the bond investors. Therefore, through the crossover bonds, the reverse mortgage insurers can transfer the crossover risk into the bondholders.
    參考文獻: 一、 中文部分
    張簡勵如(2002)，金融資產證券化
    何思湘(2002)，金融資產證券化概說與法制初探（上）
    陳建智(2003)，金融資產證券化財務報導之探討
    黃淑華(2004)，我國金融資產證券化之發展及其監理
    曾奕翔、余清祥(2005)，Lee-Carter模型分析：台灣地區死亡率推估之研究
    二、 英文部分
    Black, F., Derman, E., Toy, W., 1990. A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46, 1, 33-39.
    Cox, H., J. Fairchild, and H. Pedersen., 2004. Valuation of structured risk management products. Insurance: Mathematics and Economics, 34, 259-272.
    Cummins, J. D., 2004. Securitization of life insurance assets and liabilities.submitted to TIAA-CREF Institute.
    Hua Chen, Samuel H. Cox, and Shaun S. Wang., 2008. Is the HECM Program Sustainable? Evidence from Pricing Mortgage Insurance Premiums and Non-Recourse Provisions Using Conditional Esscher Transform. Georgia State University Robinson College of Business
    Liang Wang、Emiliano Valdez、John Piggott, 2007. Securitization of Longevity Risk in Reverse Mortgages. SSRN Working paper.
    Ma, Seungryul, Gabtae Kim, and Keunoak Lew., 2007. Estimating Reverse Mortgage Insurer`s Risk Using Stochastic Models. the 11th APRIA Conference in Taipei, Taiwan
    Ngee-Choon Chia and Albert K C Tsui., 2004. Reverse Mortgages as Retirement Financing Instrument: An Option for “Asset-rich and Cash-poor” Singaporeans. Department of Economics, National University of Singapore,
    10 Kent Ridge Crescent, Singapore 119260
    Rachel Ong, 2008. “Unlocking Housing Equity Through Reverse Mortgages: The Case of Elderly Homeowners in Australia.” European Journal of Housing Policy Vol. 8, No. 1, 61–79.
    Samuel Wills and Michael Sherris., 2008. Securitization, Structuring and Pricing of Longevity Risk. UNSW Australian School of Business Research Paper No. 2008ACTL06.
    Szymanoski, E. Jr., 1994. Risk and the Home Equity Conversion Mortgage. Journal of American Real Estate and Urban Economics Association, 22, 2, 347-366.
    Szymanoski,E.J.J.C. Enriquez and T.R. DiVenti.,2007. Home Equity Conversion Mortgage Terminations：Information To Enhance the Developing Secondary Market. A Journal of Policy Development and Research，Vol. 9，No. 1.
    Tonja Bowen Bishop, Hui Shan., 2008 Reverse Mortgages: A Closer Look at HECM Loans
    Tse, Y.K., 1995b. Modelling reverse mortgages. Asia Pacific Journal of Management12(2), 79-95.
    HECM Handbook
    三、 網路部分
    經建會 http://www.cepd.gov.tw/
    行政院主計處 http://www.dgbas.gov.tw/mp.asp?mp=1
    THE BOND MARKET ASSOCIATION http://www.bondmarkets.com
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    97358009
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097358009
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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