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研究生:陸文傑
研究生(外文):Lu, Wen-Chieh
論文名稱:抵押貸款證券之評價─ImpliedPrepayment之應用
論文名稱(外文):On pricing the Mortgage-backed securities ─ Application of
指導教授:廖咸興廖咸興引用關係
指導教授(外文):Liao, Hsien-Hsing
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:61
中文關鍵詞:抵押貸款證券
外文關鍵詞:Mortgage-backed securitiesImplied Prepayment
相關次數:
  • 被引用被引用:24
  • 點閱點閱:270
  • 評分評分:
  • 下載下載:31
  • 收藏至我的研究室書目清單書目收藏:2
由於Option-Adjusted-Spread分析可以考慮利率的波動及提前償還造成的現金流量的波動,因此是目前較為人所接受的抵押貸款證券評價方式。但是OAS分析的結果和所採用的利率模型及提前償還模型有非常密切的關係,將OAS解釋為風險貼水會使得所使用提前償還模型和市場預期的提前償還間的誤差完全的被歸入OAS中,而使得評價結果的實用性遭到質疑;而OAS所使用歷史資料統計迴歸得到的提前償還模型也可能無法即時反映出市場對提前償還行為預期的改變。Implied Prepayment是由市場價格所反映出的市場對於提前償還的共同預期,以此作為評價抵押貸款證券現金流量的基礎,可以免除因提前償還模型所產生的偏誤。本研究評價模擬與分析的結果顯示,結合Implied Prepayment、抵押貸款證券發行者的殖利率曲線、Effective Cash Flow、以及Hull-White三元利率樹利率模型的整合評價模型,其評價的準確度非常高,各種不同票面利率在三種不同形狀的殖利率曲線(包括斜率為正、平的、斜率為負的殖利率曲線)下,其評價誤差皆不超0.1%。因此,本研究所採行的評價方法,除理論基礎較傳統方法嚴謹外,也相當具實用性。
Option-Adjusted-Spread analysis has became the most popular pricing method of Mortgage-Backed Securities because OAS takes interest rate volatility and volatility of cash flow caused by prepayment into consideration. However, the result of OAS analysis is dependent on the prepayment model and interest rate model. Besides, taking OAS as risk premium will neglect the error between prepayment model and market-expected prepayment behavior. Furthermore, OAS can’t reflect the change of market-expected prepayment behavior in time because OAS uses historical prepayment data. On the contrary, Implied Prepayment can eliminate the error of traditional OAS analysis by using market-expected prepayment behavior from market price of MBSs. The results of this study shows that the integrated pricing model combining Implied Prepayment, the MBSs issuer’s yield curve, Effective Cash Flow, and Hull-White trinomial interest rate model has pricing errors less than 0.1% in 3 different situations. Therefore, the pricing method of this study not only have rigid theoretic base but also is practical.
第一章 緒論………………………………………………………………….1
第一節 研究動機及目的………………………………………………….1
第二節 研究架構及流程………………………………………………….2
第二章 文獻探討…………………………………………………………….6
第一節 抵押貸款證券(MBS)的簡介………………………………….6
第二節 抵押貸款證券相關的風險……………………………………..7
第三節 提前償還模型………………………………………………….14
第四節 抵押貸款證券的評價方式…………………………………….20
第五節 Option-Adjusted-Spread(OAS) Analysis……………….24
第三章 研究方法…………………………………………………………..33
第一節 Implied Prepayment…………………………………………..33
第二節 Hull-White利率模型……………………………………36
第三節 提前償還模型……………………………………………40
第四節 Effective Cash Flow Method…………………………42
第四章 研究結果………………………………………………………46
第一節 不同提前償還參數下對抵押貸款證券價格的影響………46
第二節 Implied Prepayment應用………………………………52
第五章 結論與建議……………………………………………………57
參考文獻…………………………………………………………………59
參考文獻:
一、中文部份:
1.何澤蘭,「台灣不動產抵押債權證券化之推行及評債」,國立台灣大學財務金融學研究所碩士論文,民國八十八年六月
2.廖咸與、李阿乙、梅建平合著,「不動產投資概論」,華泰書局出版,民國八十八年
3.廖咸與,「抵押貸款證券評價─單因子動興多因子利率時間結構模型之比較」,行政院國家科學委員會專題研究計畫成果報告,民國八十五年七月
4.盧嘉梧,「房屋抵押貸款評價之選擇權分析」,國立中央大學財務管理研究所碩士論文,民國八十四年五月
二、英文部份:
1.Abrahams, S.W, “The New View in Mortgage Prepayments: Insight From Analysis At The Loan-By-Loan Level”, The Journal of Fixed Income (1997)
2.Archer, W.R and Ling, D.C, “Pricing Mortgage-Backed Securities: Integrating Optimal Call and Empirical Models of Prepayment”, Journal of the American Real Estate and Urban Economics Association (1993)
3.Asness C, “OAS Models, Expected Returns, and a Steep Yield Curve”, The Journal Of Portfolio management (1993)
4.Babbel, D.F and Zenios, S.A “Pitfalls in the Analysis of Option-Adjusted Spreads”, Financial Analysts Journal (1992)
5.Bevington, P.R, Data Reduction and Error Analysis for the Physical Sciences,
6.Cheyette, O, Choi, S and Blanter, E “The New BARRA Fixed Rate Prepayment Model”, BARRA Newsletter (1996)
7.Cheyette, O “Implied Prepayments”, the Journal of Portfolio Management (1996)
8.Chen, S “Understanding Option-Adjusted Spreads: The Implied Prepayment Hypothesis” The Journal of Portfolio Management (1996)
9.Choi, S and Schumacher M “GNMA Ⅱ 30-Year Pass-Through MBS prepayment Analysis”, The Journal of Fixed Income (1997)
10.Davidson, A.S, Kulason, R and Herskovitz M.D “A Comparison of Methods for Analzing Mortgage-Backed Securities”, Handbook of Fixed Income Securities, (1997)
11.Davidson, A.S and Herskovitz, M.D, Mortgage-Backed Securities─Investment Analysis & Advanced Valuation Techniques, 1996
12.Dharan, V.G “Pricing Path-Dependent Interest Rate Contingent Claims Using A Lattice”, The Journal of Fixed Income (1997)
13.Fabozzi, F.J, Advances in the Valuation and Management of Mortgage-Backed Securities, 1998
14.Fabozzi, F.J and Yuen D, Managing MBS Portfolios, 1998
15.Fabozzi, F.J, Kalotay, A.J and Williams, G.O “Valuation of Bonds with Embedded Options”, Handbook of Fixed Income, (1997)
16.Finnerty, J.D and Rose M, “Arbitrage Free Spread: A Consistent measure of Relative Value”, The Journal of Portfolio Management,(1991)
17.Hayre, L.S and Lauterbach, K “Option-Adjusted Spread Analysis”, Handbook of Mortgage Backed Securities, (1993)
18.Hull, J.C., and A. White, Hull-White on Derivatives, 1996
19.Patruno, G.N, “Mortgage Prepayments: A New Model for A New Era”, The Journal of Fixed Income,(1994)
20.Roberts, R.B, Skyes, D., and Winchell, M.L, “Consistent, Fair and Robust Methods of Valuing Mortgage Securities”, Handbook of Mortgage Backed Securities, (1993)
21.Rose, M.E, “The Effective Cash Flow Methods”, The Journal of Fixed Income (1994)
22.Schorin, C, and Gordon, M.N, “Mortgage Prepayment Modeling:Ⅰ”, Handbook of Fixed Income Securities, (1997)
23.Schwartz, E.S, and Torous, W.N, “Prepayment, Default, and the Valuation of Mortgage Pass-through Securities”, Journal of Business (1992)
24.Stanhouse, B and Stock, D, “The Impact of Volatility on Duration of Amortizing Debt with Embedded Call Options”, The Journal of Fixed Income (1998)
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