臺灣博碩士論文加值系統

抵押貸款證券評價或對包含抵押貸款證券之投資組合進行免疫管理時，會遇到兩個路徑相依的問題(Path-dependency)，第一個是現金流量的路徑相依問題﹔第二個是某個節點的本金提前償還利率路徑相關，也就是所謂的Burnout效果。線性路徑空間方法(Linear Path Space) 將路徑資訊依據重要性大小而保留，可以有效處理上述問題。本研究在應用線性路徑空間方法評價抵押貸款證券時，發現具有不錯的收斂性，可以有效提昇評價的效率。此外，由於線性路徑空間方法提供珍貴的利率路徑資訊，對於像抵押貸款證券這種現金流量的利率路徑相依商品的投資組合管理尤其重要。本研究將線性路徑空間方法衍生的路徑免疫策略(Pathwise Immunization)應用在以抵押貸款證券為投資標的的免疫策略上，並且與傳統的有效存續期間免疫策略(Effective Duration Matching)進行模擬比較。本研究發現路徑免疫策略相較於兩種傳統的有效存續期間免疫策略(彈型與槓鈴策略)，在三種利率期限結構變化下(平行移動、斜率改變、以及曲度改變)，皆具有較為穩定的免疫效果。此外路徑免疫策略對於殖利率曲線較高階的曲度(Curvature)變化具有最佳的免疫效果。抵押貸款債券在強化信用保證下，信用風險較公司債小，收益率又較一般公債為高，本文提供財務人員操作此種債券適當控管提前償還風險的免疫策略參考，具有相當的實用價值。

There are two path-dependency problems in Mortgage-Backed Securities(MBS) pricing and MBS portfolios immunization. One is cash-flow path dependency; the other is so called “Burnout” effect. Linear Path Space method (LPS) retains the interest rate path information and orders the path information according to the “Pathweight”, which can solve the two path-dependency problems. We first examined the convergence of MBS pricing under LPS framework, and found that the convergence was acceptable. Besides, LPS retained many precious interest rate path information which is very useful for portfolio management of path-dependent interest rate securities, such as MBS. The immunization strategy developed from LPS framework is called “Pathwise Immunization”. This essay compared “Pathwise Immunization” to traditional “Effective Duration Matching” strategy while investing in MBS portfolio. We found that the performance of “Pathwise Immunization” is more stable than that of two “Effective Duration Matching”(Bullet and Barbell) strategy under three types of term structure changes (parallel shifts, slope changes, and curvature changes). Moreover, “Pathwise Immunization” has the best performance under curvature changes. While MBS have lower credit risk but higher yield, this article provides a model for immunization with MBS portfolio, which is very practical.

謝辭
論文摘要
目錄
表次
圖次
1、背景動機與目的1
2、線性路徑空間方法(LPS)與抵押貸款證券評價探討3
3、路徑免疫策略意義與相關方法探討11
4、評價與免疫模擬與分析15
5. 結論與建議33
參考文獻34

一、中文部份：
1.吳逸豪，民國八十七年六月，「債券價格之N階泰勒展開式的免疫效果」，國立台灣大學財務金融研究所碩士論文
2.何澤蘭，民國八十八年六月，「台灣推行不動產抵押債權證券化之推行及評價」，國立台灣大學財務金融研究所碩士論文
3.陸文傑，民國八十九年六月，「抵押貸款證券之評價---Implied Prepayment之應用」，國立台灣大學財務金融研究所碩士論文
4.高心怡，民國八十九年六月，「結合Hull-White利率模型與PHM提前償還模型評價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
二、英文部份：
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