臺灣博碩士論文加值系統

行政院自民國九十年初通過了金融資產證券化政策，只要相關法令再行修改，不動產抵押權證券在台灣將會逐漸蓬勃發展。在評價不動產抵押權證券(Mortgage-Backed Securities，MBSs)之前，提前清償之設定最為重要；不同之提前清償，即會有不同的評價結果。

衡量MBS之方法良多，本研究採取選擇權調整利差法並利用數值方法中之蒙地卡羅模擬(Monte Carlo simulation)。

模擬結果顯示，在利率有向上之趨勢時，抵押貸款證券之價值與利率之上限呈現負向之關係；抵押貸款證券之價值與契約之上限呈現正向之關係；且均數復歸之速度越快，抵押權證券之價值會越低。在利率有向下之趨勢時，抵押貸款證券之價值與利率之上限呈現正向之關係；抵押貸款證券之價值與契約之上限，呈現正向之關係。而浮動利率抵押權證券(ARM)之價值，會隨著契約利率之調整時間增長而增加。

As the banking institutions originate and hold mortgage loans is the asset, they bear the prepayment risk until borrowers pay off at maturity. In ORDER to reduce prepayment risks and manage interest rate risks, the banking industry can pool the mortgages of low liquidity, repackage and sell them to the capital markets through issuing mortgage-backed securities (MBS), whose cash flows come FROM the underlying pool of mortgages.

This study firstly introduces the asset securitization concept and the process for developing the secondary mortgage markets. Secondly, several prepayment models are reviewed for merits and limitations. Finally, Monte Carlo simulation analysis is adopted for approaching the MBS prices. As SHOW in this study, the value of ARM will more in proportion to its adjusted time period of contract rates.

第一章 緒論
第一節 前言……………………………………………………………1
第二節 研究背景及目的………………………………………………2
第三節 研究架構………………………………………………………3

第二章 不動產抵押貸款證券化及相關評價文獻探討
第一節 不動產抵押證券(MBS)在美國之發展起源…………………………5
第二節 抵押貸款之種類………………………………………………10
第三節 評估抵押權擔保證券之文獻…………………………………12

第三章 利率模型與提前清償之介紹
第一節 利率模型之探討與介紹………………………………………18
第二節 提前清償之探討與模型介紹…………………………………25

第四章 研究方法與模型設計
第一節 抵押權及MBS評價之主要分析方法…………………………38
第二節 現金流量之衡量………………………………………………44
第三節 評價流程………………………………………………………46
第四節 模擬次數………………………………………………………50
第五節 研究設計………………………………………………………51

第五章 模擬結果與分析 ……………………………………………55

第六章 結論與建議……………………………………………………62
附錄 偏微分方程之推導…………………………………………………64
參考文獻……………………………………………………………………66

中文參考文獻

1.何澤蘭，「台灣不動產抵押債券證券化之推行及評價」，碩士論文，台灣大學財務金融研究所，民國88年。

2.李進生、盧陽正、林允永、謝文，投資分析+Matlab應用，全華科技，民國88年。

3.林左裕，不動產投資管理，智勝文化，民國89年。

4.林麗敏，「不動產抵押擔保證券之研究」，碩士論文，中央大學財務管理研究所，民國81年。

5.邱淑暖，「序列抵押擔保債券風險之研究」，行政院國家科學委員會專題研究計畫成果報告，NSC 88-2416-H#194-014，民國88年9月。

6.吳以苓，「美國住宅抵押貸款擔保債券之研究」，碩士論文，台灣大學財務金融研究所，民國89年。

7.范志仁，「住宅抵押貸款之債權證券化之評價─二因子之Hull-White模型」，碩士論文，高雄第一科技大學金融營運所，民國90年。

8.陸文傑，「抵押貸款證券之評價-Implied Prepayment之應用」，碩士論文，台灣大學財務金融研究所，民國89年。

9.陳仁遶、廖咸興、楊太樂，「抵押貸款定價模型之效率性-數值分析模型與封閉型解模型之比較」，證券市場發展季刊，7卷2期，民國84年4月，pp.29-45。

10.陳禎祥，「壽險公司投資不動產債權抵押證券之研究」，碩士論文，政治大學保險研究所，民國85年。

11.陳威光，選擇權─理論、實務與應用，智勝文化，民國90年。

12.郭姿伶，「住宅貸款之提前清償與逾期還款」，碩士論文，中正大學財務金融研究所，民國88年。

13.張智星，Matlab程式設計與應用，清蔚科技，民國89年。

14.廖柏媛，「不動產抵押貸款證券化之分析與評價」，碩士論文，政治大學金融研究所，民國90年。

15.劉展宏，「我國一般購屋貸款提前清償之實證分析」，2001年中華民國住宅學會第十屆年會論文集，pp.393-415，民國90年。

16.盧嘉梧，「房屋抵押貸款評價之選擇權分析」，碩士論文，中央大學財務管理研究所，民國84年。

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