臺灣博碩士論文加值系統

論文提要內容：
抵押貸款相關證券在美國已發展了二十多年，其市場規模已經超過美國公司債市場，且僅次於股市與公債市場，在資本市場中佔有相當重要的地位。而抵押貸款相關證券市場的發展，不僅有助於改善銀行資產的流動性風險，也能提供另一個投資管道，尤其獲得機構投資人的青睞；因此，國內目前也正積極推動不動產投資信託，以健全資本市場。
為了讓投資人更加瞭解抵押貸款相關證券的市場風險，本研究嘗試以近幾年來國際間熱烈討論的風險值(Value at Risk)模型，進行抵押貸款證券的風險評估，期能促進抵押貸款相關證券市場發展。本研究針對美國資本市場中幾種抵押貸款證券，包括抵押貸款轉付證券(Mortgage Passthrough securities)、PO(Principal Only)、IO(Interest Only)和PAC債券(Planned Amortization Class bond)、搭配組(Companion class)等，並以等額支付還本債券(Amortizing level payment bond)作為對照，以JP. Morgan的風險計量模型和蒙地卡羅模擬法為基礎，運用均等加權法、指數加權法來衡量各種抵押貸款證券的一階與二階風險值，並對不同方法的結果加以探討及比較。本研究得到的結論如下：
一、 在常態分配的假設下，以指數加權法估計歷史波動性的衡量方法，比較能反應利率的走勢和波動，值得推薦 給投資人作為主要衡量的方法。
二、 對於本研究中所有的抵押貸款相關證券而言，二階逼近法對於風險值的改善幅度極微小，意謂著使用一階法 已經可以捕捉美國債券市場中大部分的風險。
風險計量模型
三、 風險值的衡量可以正確反應抵押貸款相關證券的現金支付特性和風險暴露程度，本文所研究之9種抵押貸款 相關證券中，風險最大的是搭配組，其次為PO、轉付證券、PAC債券，風險最小的是IO；然而上述五組債券 的風險，都比等額支付還本債券低。

Abstract:
In U.S.A, Mortgage-Backed Securities have developed for more than two decades and play an influential role in the capital market. The development of MBS market not only helps to improve the liquidity risk of financial institutions but also provides another investitive tool for institutional investors. Therefore, the real estate investment trust is put into action now in the domestic market.
This research attempts to apply Value-at-Risk model to measure market risk of MBS, which furthers investors'' understanding of securitization and promotes development of MBS market. On the basis of RiskMetrics model and Monte Carlo model, this research uses equal weighted moving average method and exponential weighted moving average method to assess the first-order and second-order VaR of several MBS products in the U.S. capital market, such as Mortgage Passthrough securities、PO、IO、Planned Amortization Class bond and Companion class which are compared with Amortizing level payment bond. The conclusion is as follows:
1. On the assumption of normal distribution, using exponential weighted moving average method to estimate standard deviation is able to reflect the trend and volatility of yield curve better. The method is worthy to be proposed to investors.
2. In this research, the contribution to VaR from the second approximation is extremely small, which implies that the first approximation method could catch most of market risk in the U.S. capital market.
3. VaR can correctly express the character of cashflow payment and risk exposure of MBS. For the MBS products in this research, Companion class exposes the most risk and IO exposes the least risk. Besides, the VaR estimates of all above MBS products are lower than that of Amortizing level payment bond.

目錄
第一章 緒論……………………………………………………….…….1
第一節 研究動機與目的……………………………………….…….1
第二節 研究架構……………………………………………….…….5
第二章 文獻探討………………………………………………….…….7
第一節 風險值(VaR)之相關文獻……………………………………7
第二節 抵押貸款證券之風險評估…………………………………19
第三章 研究方法………………………………………………………30
第一節 抵押貸款相關證券之介紹………………………………...30
第二節 現金流量的預估…………………………………………...32
第三節 風險值的計算……………………………………………...36
第四章 研究結果與分析………………………………………………47
第一節 資料選取與產品規格……………………………………...47
第二節 風險計量模型之衡量結果………………………………...48
第三節 抵押貸款相關證券風險評估結果分析…………………...54
第四節 蒙地卡羅模擬之研究……………………………………...58
第五章 結論與建議……………………………………………………60
第一節 結論…………………………………………………………60
第二節 研究限制與建議……………………………………………61
參考文獻…………………………………………………………………..63
表目錄
表2.1 風險值衡量模型比較…………………………………………..17
表4.1 抵押貸款相關證券之規格……………………………………..47
表4.2 風險值佔市價比（一天）………………………………………..51
表4.3 Delta法與Delta-Gamma法差異最大值（一天）……………….52
表4.4 Delta法與Delta-Gamma法1999/1/8的差異（兩週）…………..53
表4.5 轉付證券的一天風險值---蒙地卡羅模擬法…………………..59
圖目錄
圖1.1 美國抵押貸款證券總發行量……………………………………4
圖1.2 美國抵押貸款證券市場平均日交易量…………………………4
圖1.3 研究架構流程圖…………………………………………………6
圖2.1 風險值之概念……………………………………………………8
圖2.2 一階與二階關係圖……………………………………………..13
圖2.3 債券及轉付證券價格與殖利率的關係圖……………………..21
圖4.1 抵押貸款相關證券未來的現金流量…………………………..49
圖4.2 PAC四組債券未來的現金流量………………………………..49
圖4.3 轉付證券在不同計算方法下的風險值………………………..50
圖4.4 美國公債殖利率每日變動----10年期………………….……...50
圖4.5 美國公債殖利率每日變動----5年期和20年期……………….51
圖4.6 風險值佔市價比--轉付證券,等額支付還本債券,PAC………..55
圖4.7 各種證券之現金流量分派情形………………………………..55
圖4.8 美國公債殖利率近兩年來的走勢……………………………..56
圖4.9 風險值佔市價比--轉付證券,PO,IO（一天）……………………57
圖4.10 風險值佔市價比--B,C,D組與Companion（一天）……………57
圖4.11 蒙地卡羅模擬之日報酬分配----1999/1/1……………………...59

參考文獻
英文部分：
1. Frank J. Fabozzi and David Yuen, Managing MBS Portfolios, Frank J. Fabozzi Associates, 1998.
2. Philippe Jorion, Value at Risk, McGraw-Hill, Inc, 1996.
3. Kevin Dowd, Beyond Value at Risk, John Wiley & Sons Ltd., 1998.
4. Philip Best, Implementing Value at Risk, John Wiley & Sons Ltd., 1998.
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6. Hendricks, D., "Evaluation of Value-at-Risk Models Using Historical Data", Economic Policy Review, April 1996.
7. Hopper, G. P., "Value at Risk: A New Methodology for Measuring Portfolio Risk", Business Review, July/August, 1996.
8. Tomas S.Y Ho, "Key Rate Durations: Measures of Interest Rate Risks", The Journal of Fixed Income, September 1992.
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11. Eduardo S. Schwartz and Walter N. Torous, "Prepayment and Valuation of Mortgage-Backed Securities", The Journal of Finance, June 1989.
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17. J.P. Morgan, RiskMetrics-Technical Document, Fourth Edition, 1996.
18. Peter Zangari, "A VaR Methodology for Portfolios that Include Options", RiskMetrics Monitor, J.P. Morgan, 1996.
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中文部分：
24. 廖咸興、李阿乙、梅建平，「不動產投資概論」，華泰書局。
25. 沈大白、柯瓊鳳，「亞太地區金融市場風險衡量模式及其關連性之比較」，1998 Working Paper。