臺灣博碩士論文加值系統

本研究為固定利率住宅抵押貸款其資產抵押證券分券規模與所對應風險架構的延伸，藉由加入可調整利率住宅抵押貸款進一步探討房貸資產證券分券規模與所對應報酬在不同的標的抵押貸款下是否有顯著變化。根據Yang et al. (2009) 提出拆解住宅抵押貸款投資組合風險為系統風險與個別風險的方法，探討由兩地區住宅抵押貸款所建構相同權重之投資組合，觀察兩地區房價波動之間的相關性所產生的分散風險效益是否反應於分券規模。

實證發現，違約風險較高的可調整利率住宅抵押貸款其 Senior 分券規模較小，支撐部位較大。計算不同等級的內部報酬率發現，風險最高的 NR 分券其報酬最高、風險最低的 Senior 分券其報酬最低，驗證財務理論「高風險高報酬、低風險低報酬」的現象。因不同相關性所產生的分散風險效益的確反應於投資組合的 Senior 分券規模與其支撐部位，Senior 分券規模隨相關性的降低而增加，其支撐部位隨相關性的降低而減少，該結果驗證財務理論「藉由兩個不為完全正相關的資產所建構之投資組合具有分散風險的效用」的現象。

This paper extends the framework of tranche size in fixed rate mortgage and the corresponding risk. We examine whether the tranche size changes with different underlying mortgages by adding the adjustable rate mortgage. With the method of analyzing the mortgage portfolio risk elaborated by Yang et al. (2009), we form an equal-weighted portfolio with two mortgage-backed securities and observe whether the diversification benefit caused by different correlations between the two house price appreciations shows on the tranche size.

Based on the empirical findings, Senior tranche size of adjustable rate mortgage is thinner and the supporting level is thicker because of high default risk. With the internal rate of return, we demonstrate the rule of “high risk, high return; low risk, low return” by NR tranche size with the highest return and Senior tranche size with the lowest return among all tranche sizes. Diversification benefit caused by different correlations shows on Senior tranche size and its’ supporting level. We demonstrate the rule of “adding two assets which are not perfect positive correlated would lower the risk” by the increase of Senior tranche size and the decrease of its’ supporting level with the correlation declines.

第一章 緒論

第二章 研究方法
第一節 研究流程圖
第二節 模擬短期利率與未來房價的可能路徑
第三節 計算條件違約機率與條件提前清償機率
第四節 計算違約損失機率與累積違約機率
第五節 計算各等級分券規模
第六節 計算內部報酬率
第七節 建構房貸資產證券投資組合

第三章 參數設定與實證結果
第一節 契約資訊與模擬參數設定
第二節 不同貸款契約的分券規模實證結果
第三節 考慮分散風險效益對分券規模的影響實證結果

第四章 結論與建議
第一節 研究結論
第二節 未來研究方向與建議

附錄

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