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研究生:吳奕賢
研究生(外文):Yi-Hsien Wu
論文名稱:房屋抵押貸款保險與費率評價之研究
論文名稱(外文):The Study on Mortgage Insurance and Premium Evaluation
指導教授:林左裕林左裕引用關係
指導教授(外文):Tsoyu-Calvin Lin
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
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:2002
畢業學年度:90
語文別:中文
論文頁數:100
中文關鍵詞:房貸保險貸款成數保費不動產抵押權證券化
外文關鍵詞:Mortgage InsurancePremiumLoan to ValueMortgage-Backed Securities
相關次數:
  • 被引用被引用:6
  • 點閱點閱:312
  • 評分評分:
  • 下載下載:37
  • 收藏至我的研究室書目清單書目收藏:5
行政院財經小組通過「金融資產證券化條例」草案,金融機構的信用卡、汽車、房屋等貸款債權未來均可以證券形式公開發行及銷售。投資金融資產之相關證券仍存在風險,如倒帳或抵押擔保品價格下跌等風險。一旦發生上述狀況,金融機構將承擔部分損失,投資人也要承擔一些風險。

為因應未來金融資產證券化存在的違約風險,本研究介紹美國房屋貸款保險制度、房貸保險業務的歷史、經濟價值、運作機制、風險本質、風險因子與風險管理。此制度一方面能降低貸款者的風險,藉此使民眾能以較低的自備款購買房子,提早完成家庭購屋的目的,並進一步活絡房地產市場。房貸保險的設計,通常是對於長期有經濟能力購買房屋,但短期卻苦無足額頭期款儲蓄的家庭提供信用加強的工具。

保費求算方面則應用三種方法求算保費:1.期望報酬等於期望損失;2.B-S模型;3.比例危機模型。對於房貸保險合理費率模式,應能使保費收入能應付可能的求償損失,並產生合理的利潤以滿足股東的要求報酬。希望能藉由本文增進大眾對房貸保險產業有了解,以利於日後在台灣的實行。
In the near future of the early 2002s, the banking industry will be able to sell the credit card, automobile and mortgage loans to the capital markets in the form of asset- or mortgage-backed securities (ABS or MBS). However, the related investment risks embedded in such securities still remain uncertain, especially for the default or credit risks. Should the default occur, banking institutions, together with the ABS or MBS investors are forced to assume the losses.

This study firstly introduces the mortgage insurance system implemented in the U.S. Secondly, three approaches regarding the calculation of mortgage insurance premium are discussed. They are (1) expected return equals the expected loss; (2) the B-S model; (3) the Proportional Hazard Model. A reasonable mortgage insurance premium model should make insurance premium to cover with claim loss, and yield reasonable profit to satisfy stockholders require reward. . To rely on this text to promote the people understand what mortgage insurance is.
目錄

第一章 緒論……………………………………………………………1
1.1 研究動機………………………………………………………1
1.2 研究目的……………………………………………………….2
1.3 章節架構………………………………………………………2
第二章 房貸保險產業介紹……………………………………………..4
2.1 美國房貸保險產業的歷史…………………………………….4
2.2 美國房貸保險產業參與者………………………………….10
2.3 澳洲房貸保險的歷史………………………………………...14
2.4 台灣的歷史…………………………………………………...15
2.5 房貸保險的經濟價值………………………………………...15
第三章 房貸保險的機制與運作………………………………………20
3.1 房貸保險的機制……………………………………………...20
3.2 房貸保險的運作……………………………………………...21
3.3 違約處理、賠償申請與保單解約……………………………25
第四章 房貸保險風險因子與風險管理探討…………………………31
4.1 風險管理的重要性…………………………………………...31
4.2 風險的性質…………………………………………………...31
4.3 房貸保險產業的風險因子…………………………………...32
4.4 風險管理……………………………………………………...39
4.5 PMI風險管理方法與AURA系統…….……………………..42
4.6 房貸保險公司財務面的實務………………………………...44
4.7 房貸保險公司的監管………………………………………...47
第五章 文獻回顧..……………………………………………………..49
5.1 借款人償還方式的選擇與違約流程……………...…………49
5.2 從金融機構的觀點探討貸款違約風險...……………………50
5.3 從借款者的觀點來分析貸款違約風險...……………………56

第六章 房貸保險費率結構..…………………………………………..59
6.1 房貸保險與一般保險………………………………………...59
6.2 美國的保費結構…..………………………………………….60
6.3 保費結構的建立..…………………………………………….61
6.4 合理費率結構與個案探討………………………………….66
第七章 B-S的運用..…………………………………………………...70
7.1 B-S簡介…………………………………………………….70
7.2 以選擇權概念為基礎………………………………………...71
7.3 最適執行時機………………………………………………...72
7.4 B-S模型的運用…………………………………………….73
7.5 敏感度分析…………………………………………………...73
第八章 比例危機模型的運用..………………………………………..80
8.1 或有求償權的簡介…………………………………………...80
8.2 比例危機模型的介紹………...………………………………81
8.3 解釋變數的選取與參數的採用……………………………...84
8.4 模型假設與結果…..………………………………………….85
8.5 研究限制…..………………………………………………….86
第九章 研究結論與建議..……………………………………………..89
9.1 研究結論…………………………………………………….88
9.2 研究建議…………………………………………………….90
參考文獻 ………………………………………………………………93
附錄 威斯康辛州對貸款保險公司的規定……………………………99
參考文獻

一、英文部分

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3.Campbell, Tim S. and J. Kimball Dietrich, (1983) “The Determinants of Default on Insured Conventional Residential Mortgage Loans,” The Journal of Finance, Vol.38, No.5, pp. 1569-1581.

4.Canner, Glenn B., Monisha Mittal, and Wayne Passmore. “Private Mortgage Insurance,” Federal Reserve Bulletin, Oct.1994, Vol. 80,pp. 883-899.

5.Clauretie, Terrence M, (1990) “A Note on Mortgage Risk: Default vs. Loss Rate,” AREUEA Journal, Vol.18, No.2, pp. 202-206.

6.Deng, Yongheng, (1997) “Mortgage Termination: An Empirical Hazard Model with Stochastic Term Structure,” Journal of Real Estate Finance and Economics, Vol.14, pp. 309-331.

7.Deng, Yongheng, John M. Quigley, and Robert Van Order, (2000)“Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options,” Econometrics, Vol.68, No.2, pp. 275-308.

8.Dennis, Barry, Chionglong Kuo, and Tyler T. Yang, (1997) “Rationales of Mortgage Insurance Premium Structures,” The Journal of Real Estate Research, Vol.14, pp. 359-378.

9.Escolas, Edmond L., and Ronald W. Spahr, (1986) “Mortgage Guaranty Insurance: A Unique Style of Insurance,” The Journal of Risk and Insurance, Vol.53, pp. 308-319.
10.Evans, R. D., B. A. Maris and R. I. Weinstein, (1985) “Expected Loss and Mortgage Default Risk,” Quarterly Journal of Business and Economics, Vol.24, pp. 75-92.

11.Follain, J.R., W. Huang, and J. Ondrich. (1999), “Stay, Pay or Walk Away: A Hazard Rate Analysis of FHA-Insured Multi-Family Mortgage Terminations.” working paper.

12.Gardner, Mona, J. and Dixie L. Mills, (1989) “Evaluating the Likelihood of Default on Delinquent Loans,” Financial Management, Vol.18, pp. 55-63.

13.Green, J., and J. Shoven, (1986) "The Effect of Interest Rates on Mortgage Prepayments," Journal of Money, Credit, and Banking Vol.18 No.1, pp. 41-59.

14.Ingram, F. Jerry and Emma L. Frazier, (1982) “Alternative Multivariate Tests in Limited Dependent Variable Models: An Empirical Assessment,” Journal of Financial and Quantitative Analysis, Vol.17, No.2, pp. 227-240.

15.Jackson, Ferry R. and David L. Kaserman, (1980)“Default Risk on Home Mortgage Loans: A Test of Competing Hypotheses,” Journal of Risk and Insurance, Vol.47, pp. 678-690.

16.Jung, Allen F., (1962)“Terms of Conventional Mortgage Loans on Existing Houses,” Journal of Finance, Vol.17, pp. 432-443.

17.Kau, James B., Donald C. Keenan, and Walter J. Muller, Ⅲ. (1993) “An Option-Based Pricing Model of Private Mortgage Insurance,” The Journal of Risk and Insurance, Vol. 60, No.2, pp. 288-299.

18.Kau, James B., and Donald C. Keenan, (1996) “An Option-Theoretic Model of catastrophes Applied to Mortgage Insurance,” The Journal of Risk and Insurance, Vol. 63, pp. 639-656.

19.Kau, James B.,Donald C.Keenan,and Taewon Kim.(1993) “Transaction Costs, Suboptimal Termination, and Default Probabilities for Mortgages,” Journal of the American Real Estate and Urban Economics Association, Vol.21, No.3, pp. 247–263.

20.Kau, James B.,Donald C.Keenan,and Taewon Kim. (1994) “Default Probabilities for Mortgages,” Journal of Urban Economics, Vol.35, No.3, pp 278–296.

21.Kau, James B.,Donald C.Keenan,Walter J.Muller III,and James F.Epperson.(1990b). “The Valuation and Analysis of Adjustable Rate Mortgages,” Management Science, Vol.36, No.12, pp 1417–1431.

22.Kau, James B.,Donald C.Keenan,Walter J.Muller III,and James F.Epperson.(1993) “Option Theory and Floating-Rate Securities with a Comparison of Adjustable-and Fixed-Rate Mortgages,” Journal of Business Vol.66, No.4, pp595 –618.

23.Kau, James B., Donald C. Keenan, Walter J. Muller, III and James F. Epperson, (1992) “A Generalized Valuation Model for Fixed-Rate Residential Mortgages,” Journal of Money, Credit and Banking, Vol.24, No.3, pp. 279-299.

24.Lawrence, Edward C., L. Douglas Smith and Malcolm Rhoades, (1992) “An Analysis of Default Risk in Mobile Home Credit,” Journal of Banking and Finance, Vol.16, pp. 299-312.

25.Lekkas, Vassilis, John M. Quigley, and Robert Van Order. (1993) “Loan Loss Severity and Optimal Mortgage Default,” Journal of the American Real Estate and Urban Economics Association Vol.21, No.4, pp 353–371.

26.Leung, Wai K.,and C.F.Sirmans.(1990) “A Lattice Approach to Fixed-Rate Mortgage Pricing with Default and Prepayment Options,” AREUEA Journal Vol.18, No.1, pp.91 –104.

27.Mica.“Frequently Asked Questions about Private Mortgage Insurance, ” Available at http//privatemi.com/fag/.

28.McCarthy, George W., Roberto G. Quercia, and Gabor Bogmar. (1993), “The Role of Consistent Implementation of Policy: An Assessment of the Section 502 Low-Income Homeowner Program,” Working paper. Jerome Levy Economic Institute.


29.Merton, R. C., (1977)“An Analytic Derivation of The Cost of Deposit Insurance and Loan Guarantees, ” Journal of Banking and Finance, Vol.1, pp. 3-11.

30.Morton, T. Gregory, (1975) “A Discriminate Function Analysis of Residential Mortgage Delinquency and Foreclosure,” AREUEA Journal, Vol.3, pp. 73-90.

31.Page, Alfred N., (1964) “The Variation of Mortgage Interest Rates,” Journal of Business, Vol.37, pp. 280-294.

32.Quigley, John M., and Robert Van Order, (1995) “Explicit Tests of Contingent Claims Models of Mortgage Default,” Journal of real Estate Finance and Economics, Vol.11 pp. 99-117.

33.Quigley, John M., and Robert Van Order, (1991) “Defaults on Mortgage Obligations and Capital Requirements for U. S. Savings Institutions-a policy perspective,” Journal of Public Economics, Vol.44, pp. 353-370.

34.Schwartz, Edwardo S. and Walter N. Torous, (1992)“Prepayment, Default, and the Valuation of Mortgage Pass-through Securities.” Journal of Business, Vol.65, No.2, pp. 221-239.

35.Schwartz, E. S. and W. N. Torous, (1989) “Prepayment and the Valuation of Mortgage-Backed Securities,” Journal of finance, Vol. 44 No. 2, pp. 375-392.

36.Titman S. and Torous W., (1989) “Valuing Commercial Mortgage: An Investigation of the Contingent-Claims Approach to Pricing Risky Debt,” Journal of finance, Vol. 44, No.2, pp. 354-374.

37.Vandell, Kerry D., (1978) “Default Risk Under Alternative Mortgage Instruments,” The Journal of Finance, Vol.33, No.5, pp. 1279-1296.

38.Vandell, Kerry D. and Thomas Thibodeau, (1985) “Estimation of Mortgage Defaults Using Disaggregate Loan History Data,” AREUEA Journal, Vol.15, No.3, pp. 292-317.

39.Vandell, Kerry, Walter Barnes, David Hartzell, Dennis Kraft, and William Wendt, (1993) “Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories,” AREUEA Journal Vol.20, pp. 55-88.

40.von Furstenberg, George M., (1969) “Default Risk on FHA-Insured Home Mortgages as a Function of the Terms of Financing: A Quantitative Analysis,” Journal of Finance, Vol.24, pp. 459-477.

41.von Furstenberg, George M., (1970) “Risk Structures and the Distribution of Benefits within the FHA Home Mortgage Insurance Program,” Journal of Money, Credit and Banking, pp. 303-322.

42.von Furstenberg, George M. and R. Jeffery Green, (1974) “Home Mortgage Delinquencies: A Cohort Analysis,” Journal of Finance, Vol.29, pp. 1545-1548.

43.Waller, Neil G., (1988) “Residential Mortgage Default: A Clarifying Analysis”, Housing Financial Review, Vol.7, pp. 315-333.

44.Yezer Anthony M. J., Robert F. Phillips, and Robert P. Trost, (1994) “Bias in Estimates of Discrimination and Default in Mortgage Lending: The Effects of Simultaneity and Self-Selection,” Journal of Real Estate Finance and Economics, Vol.9, No.3, pp. 197-216.

45.Zorn, Peter M. and Michael J. Lea, (1989) “Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data,” AREUEA Journal, Vol.17, No1, pp. 118-136.

二、中文部分
1. Kendall, Leon T. &呂桔誠(2000),「房屋貸款保險之經濟價值—以美國房貸保險經驗為例」,核保學報第八卷,民89年3月,pp.287-301 。

2. 邱哲修、張清模、陳妍如,「我國中小企業存款保險風險轉嫁行為之探討」,風險管理學報2 (2) ,民國89年,pp.57~76,。

3. 李婉萱(2000),「住屋貸款保險產業風險因子與合理費率結構之探討」,中山大學財務管理學系碩士論文,民國89年6月。

4. 林左裕,不動產投資管理,智勝文化,民國89年。

5. 林麗敏(1992),「不動產抵押擔保證券之研究」,中央大學財務管理學系碩士論文,民81年6月 。

6. 林祖嘉,「台灣地區房租與房價關係之研究」,臺灣銀行季刊,第43卷,第1期,,pp.279~312,。

7. 陳錦村(1995),「銀行授信客戶之風險評估」,中山管理評論,第3卷第4期,pp.1~23,民84年12月。

8. 楊宗憲、張金鶚、林秋瑾,「住宅價格指數之研究」,中華民國住宅學會1995年第四屆年會論文,民國84年1月。

9. 盧嘉梧(1994),「房屋抵押貸款評價之選擇權分析」,中央大學財務管理學系碩士論文,民83年6月。

10. 賴怡妃(2000),「房屋貸款保險在台發展可行性及相關配套措施研究」,中山大學財務管理學系碩士論文,民國89年6月。
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