跳到主要內容

臺灣博碩士論文加值系統

(44.197.230.180) 您好!臺灣時間:2022/08/20 10:53
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:鄭建仁
研究生(外文):Chien-Jen Cheng
論文名稱:適用於資產負債管理之住宅抵押貸款平均存續期間與凸性估計模型之研究
論文名稱(外文):The Study on Estimation Model of Residential Mortgage Loans Duration and Convexity for Surplus Management
指導教授:黃嘉興黃嘉興引用關係
指導教授(外文):Chia-Hsing Huang
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
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:2002
畢業學年度:90
語文別:中文
論文頁數:100
中文關鍵詞:資產負債管理免疫策略抵押貸款平均存續期間抵押貸款凸性
外文關鍵詞:surplus managementimmunization strategymortgage durationmortgage convexity
相關次數:
  • 被引用被引用:0
  • 點閱點閱:385
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1

根據資產負債管理相關文獻可知,資產負債管理免疫策略的核心工具為資產與負債的平均存續期間與凸性,因此平均存續期間與凸性的衡量準確性將嚴重影響資產負債管理免疫策略的成效,而傳統的平均存續期間與凸性的衡量方式均未同時考量資產與負債的利率隨機性與附選擇權性質,這將使得傳統方式的衡量準確性受到嚴重的質疑。因此,本研究將以住宅抵押貸款為研究對象,探討適用於資產負債管理之貸款平均存續期間與凸性估計模型,並提出模型應符合三大主張,分別為利率為一隨機過程、現金流量為模型的內生變數,以及貸款存在提前清償狀況等,其中提前清償機率為利率的函數。
然而,過去相關研究,如Anderson, Barber, and Chang(1993)與Tzeng, Wang, and Soo(2000)所提出之模型皆尚未解決上述三大狀況。因此,本研究乃建構出一套模型,期能充分反應住宅抵押貸款負凸性的重要特質,並且有相對較低的估計誤差;此外,在資產負債管理應用方面,本模型亦具有估計誤差對資產負債管理免疫策略所造成的負面衝擊最小之特性。綜言之,在預期未來利率變化較大的情況下,以本模型進行資產負債管理免疫策略,應能獲得較好的免疫效果。


Literature working on the Asset/Liability Management (ALM) appeared that the duration and convexity of asset and liability is the core of surplus management. Therefore, the accuracy on the measurement of duration and convexity will have an impact on the results of surplus management. Because of the classical measurement of duration and convexity does not involve the interest rate stochastic process and the embedded option properties, it will procure a strong mistrust on accuracy. Therefore, this paper that devised the estimation model of residential mortgage’s duration and convexity for surplus management argued that the estimation model should conform three assumptions: interest rate follows the stochastic process, cash flow is the endogenous variable of model and loans exist prepayment. Moreover, prepayment rate is the function of interest rate.
Previous studies on duration model don’t conform the above-mentioned three assumptions, such as Anderson, Barber, and Chang (1993) and Tzeng, Wang, and Soo (2000). Hence, this paper established a model, which could response the negative-convexity properties of residential mortgage loans adequately, and appeared relatively lower estimation error. In additional, the estimation error of this model results in the lowest negative influence for surplus management rather than others. In conclusion, under the expectation that the interest rate would have greater change in the future, this model should acquire better immunization result for the immunization strategy of surplus management.


摘 要 I
英文摘要 II
誌 謝 III
目 錄 IV
表目錄 VI
圖目錄 VII

第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究方法 3
第三節 研究範圍與限制 3
第四節 研究流程與內容 4
第貳章 文獻探討 6
第一節 資產負債管理免疫策略 6
第二節 傳統平均存續期間與凸性 9
第三節 抵押貸款平均存續期間與凸性 15
第四節 隨機利率平均存續期間與凸性 18
第五節 提前清償機率模型文獻回顧 24
第參章 模型推導 33
第一節 模型基本架構 33
第二節 隨機利率模型 35
第三節 現金流量估計模型 37
第四節 提前清償機率模型 42
第五節 平均存續期間與凸性估計模型 50
第肆章 模擬分析 53
第一節 基本模擬參數設定 53
第二節 模擬結果分析 59
第三節 敏感性分析 63
第四節 模型比較分析 74
第五節 模型估計誤差對資產負債管理的衝擊80
第伍章 結論與建議 86
第一節 研究結論 86
第二節 後續研究建議 90
參考文獻 91
附錄 99

表3.1 模型外部環境參數符號表52
表3.2 模型合約內容參數符號表52
表4.1 合約內容參數基本設定表54
表4.2 VASICEK隨機利率模型參數估計結果55
表4.3 貸款利率相對於指標利率的波動性比率估計結果56
表4.4 提前清償機率模型LOGIT迴歸係數設定表58
表4.5 平均攤還本息型住宅抵押貸款模擬估計結果59
表4.6 到期還本型住宅抵押貸款模擬估計結果60
表4.7 比較模型定義關係表76
表4.8 模型估計誤差對淨值殘餘變動率的影響-平均攤還型貸款83
表4.9 模型估計誤差對淨值殘餘變動率的影響-到期還本型貸款84
表5.1 模型參數與估計結果關係表89

圖1.1 研究流程圖5
圖4.1 銀行隔夜拆款利率走勢圖54
圖4.2 購屋貸款利率與隔夜拆款利率走勢圖55
圖4.3 未調整係數前之平均攤還本息型提前清償機率57
圖4.4 到期還本型提前清償機率57
圖4.5 調整係數後之平均攤還本息型提前清償機率58
圖4.6 平均攤還本息型住宅抵押貸款模擬結果59
圖4.7 到期還本型住宅抵押貸款模擬結果60
圖4.8 平均攤還本息型住宅抵押貸款提前清償機率模擬結果61
圖4.9 到期還本型住宅抵押貸款提前清償機率模擬結果62
圖4.10 住宅抵押貸款的價格行為62
圖4.11 每次調整利率上下限與模型估計結果之關係64
圖4.12 利率最高上限與模型估計結果之關係65
圖4.13 每次調整利率的天數與模型估計結果之關係66
圖4.14 每次付款的天數與模型估計結果之關係66
圖4.15 貸款成數與模型估計結果之關係67
圖4.16 貸款年限與模型估計結果之關係68
圖4.17 原始合約利率與平均存續期間估計結果之關係70
圖4.18 原始合約利率與凸性估計結果之關係70
圖4.19 貸款利率相對波動性與平均存續期間估計結果之關係72
圖4.20 貸款利率相對波動性與凸性估計結果之關係72
圖4.21 指標利率起始值與模型估計結果之關係73
圖4.22 各種比較模型之平均存續期間估計結果76
圖4.23 各種比較模型之凸性估計結果77
圖4.24 各種平均存續期間估計模型之MSE79
圖4.25 各種凸性估計模型之MSE79


一、中文部分1. 王彥傑(1997),商業年金之資產負債管理-免疫策略在定額遞延年金商品的運用,私立淡江大學財務金融學系碩士論文。2. 古瀨政敏(1992),賴建業譯,美國壽險公司之新經營策略,保險事業發展中心編印。3. 李惠錦(1993),期間分析應用於壽險業資產負債管理之研究,國立政治大學保險研究所碩士論文。4. 吳家宏(1995),免疫理論應用於壽險業資產負債管理之研究,國立政治大學保險研究所碩士論文。5. 呂致偉(2001),抵押貸款證券之評價與路徑免疫策略-線性路徑空間方法之應用,國立台灣大學財務金融學研究所碩士論文。6. 何瑞鎮(2000),HJM模型下之存續期間與動態免疫策略,國立中央大學財務管理研究所碩士論文。7. 何澤蘭(1998),台灣不動產抵押債權證券化之推行與評價,國立台灣大學財務金融研究所碩士論文。8. 林逸雯(2001),死亡率與利率隨機下在準備金涉險值之模擬研究,私立逢甲大學統計與精算研究所。9. 范志仁(2001),住宅抵押貸款之債權證券化評價~二因子之Hull-White模型,國立高雄第一科技大學金融營運系碩士論文。10. 施淑芳(1997),壽險公司資產負債管理對公司價值影響之研究,國立政治大學保險研究所碩士論文。11. 高心怡(2000),結合Hull-White利率模型與PHM提前清償模型評價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。12. 陸文傑與廖咸興(2000),“抵押貸款證券之評價-Implied Prepayment之應用”,中國財務學會2000年年會論文集。13. 蔡麗華(1997),選擇性調整存續期間在資產負債管理之應用,私立逄甲大學統計與精算研究所碩士論文。14. 劉展宏與張金鶚(1999),“一般購屋貸款與首次購屋貸款提前清償之比較研究”,1999年中華民國住宅學會第八屆年會論文集,頁177-195。15. 廖柏媛(2001),不動產抵押貸款證券化之分析與評價,國立政治大學金融學系碩士論文。16. 謝坤民(1995),“人壽保險業資產負債管理之研究”,壽險季刊第97期,頁53-71。17. 賴幸瑜(1997),資產負債管理-平均存續期間在壽險監理運用之研究,國立政治大學保險研究所碩士論文。18. 盧秋玲與郭姿伶(2000),“住宅貸款之提前清償與逾期還款”,中國財務學會2000年年會論文集。二、英文部分1. Anderson, G.A. and R. Chiang. (1987) “Interest Rate Risk Hedging for Due-on-sale Mortgage with Early Termination”, Journal of Financial Research, 10:133-141.2. Anderson, G.A., J.R., Barber, C., Chang, (1993) “Prepayment Risk and The Duration of Default-Free Mortgage-Backed Securities”, Journal of Financial Research, Spring:1-9.3. Bierwag, G.O. G.G. Kaufman, and A. Toevs, (1983) “Duration: its development and use in bond portfolio management”, Financial Analysis Journal, July-August:15-35.4. Buser, S.A., and P.H. Hendershott,(1984) “Pricing Default-Free Fixed Rate Mortgages”, Housing Finance Review 3:405-429.5. Bierwag, Gerald O., (1987) “Duration and the Term Structure of Interest Rates”, Journal of Financial and Insurance, 64:733-738.6. Babbl, David F. and Rob Stricker, (1987) Asset/Liability Management for Insurers, Insurance Perspectives, New York, Goldman Sachs, May7. Black, F., E. Derman, and W. Toy. (1990) “A One Factor of Interest Rates and its Application to Treasury Bond Options”, Financial Analysts Journal, January /February:33-39.8. Bierwag, G.O., C.J., Corrado, and G.G. Kaufman, (1992) “Duration for Portfolios of Bonds Priced on Different Term Structures, Journal of Banking and Finance, 17:1147-1170.9. Bitner, J.W., and R.A. Goddard, (1992) Successful Bank Asset/Liability Management: A Guide to the Future Beyond Gap, ISBN: 0-471-52731-9.10. Bierwag, G.O., I., Fooladi, and G.S., Roberts (1993) “Designing an Immunized Portfolio: Is M-squared the Key?”, Journal of Banking and Finance, 17:1147-1170.11. Bierwag, G.O., G.G., Kaufman, and A., Toev, (1993) “Bond Portfolios Immunization and Stochastic Process Risk”, Journal of Bank Research, Winter:282-291.12. Bierwag, G.O., (1996) “The Ho-Lee Binomial Stochastic Process and Duration”, Journal of Fixed income, September:76-87.13. Briys, Eric, and Francois de Varenne, (1997) “On the Risk of Life Insurance Liabilities: Debunking Some Common Pitfalls”, Journal of Risk and Insurance, 64:673-694.14. Barney L. Dwayne, (1997), “The Relation Between Capital Structure, Interest Rate Sensitivity, and Market Value in the Property-Liability Insurance Industry: Comment”, Journal of Risk and Insurance, 64:733-738.15. Bliss, R.R., and D.C. Smith, (1998) “The Elasticity of Interest rate Volatility: Chan, Karolyi, Longstaff and Sanders Revisisted”, Journal of Risk, 1:21-466.16. Curley A.J. and Guttentag J.M., (1974) “The Yield on Insured Residential Mortgages”, Explorations in Economic Research, Summer:114-161.17. Cox, J.C., J.E. Ingersoll, and S.A. Ross, (1979) “Duration and the Measurement of Basis Risk”, Journal of Business, 52:51-61.18. Case, K.E. and R.J., Shiller, (1987) “Prices of Single Family Real Estate Prices”, New England Economic Review, 45-46.19. Case, K.E. and R.J., Shiller, (1989) “The Efficiency of the Market for Single-Family Homes”, The American Economic Review 79:125-137.20. Chinloy, Peter, (1989) “The Probability of Prepayment”, Journal of Real Estate Finance and Economics, 2:267-284.21. Cordell, D.M., (1976) Duration as an Analytical Tool in Financial Management, unpublished professional report, The university of Texas at Austin, pp10-12.22. Chan, K.C., et al., (1992) “An Empirical Comparison of Alternative Models of the Short-Term Interest Rate”, Journal of Finance, 47:1209-1227.23. Christensen, P.O., and B.G., Sorensen, (1994) “Duration, Convexity, and Time Value”, Journal of Portfolio Management, Winter:51-60.24. Calhoun, Charles A., (1996) “OFHEO House Price Indexes: Technical Description”, Washington, D.C., Office of Federal Housing Enterprise Oversight.25. Dothan, L. Uri., (1978) “On the Term Structure of Interest Rates”, Journal of Financial Economics, 6:59-69.26. Dunn, K.B., and J.J. McConnell,(1981) “Valuation of GNMA Mortgage-Backed Securities”, Journal of Finance 36:599-616.27. Dothan, M.U., and D., Feldman,(1986) “Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy, Journal of Finance, 41:369-382.28. Douglas, L.G., (1990) “Bond Risk Analysis: A Guide to Duration and Convexity”, New York Institute of Finance.29. Dharan, V.G., (1997) “Pricing Path-Dependent Interest Rate Contingent Claims Using A Lattice”, The Journal of Fixed Income, March:40-49.30. Deng, Y. and C.A. Calhoun (2002) “A Dynamic Analysis of Adjustable and Fixed Rate Mortgage Termination”, Journal of Real Estate Finance and Economics, 24:9-33.31. Foster, C. and R. Van Order, (1984) “An Option-Based Model of Mortgage Default”, Housing Finance Review 3:351-372.32. Financial GNMA Pass-Through Yield and Value Tables Showing CPR and FHA Speeds, (1988) 13th ed., Financial Publishing Company, Boston, MA.33. Follain et al.(1992) “Microfoundations of a Mortgage Prepayment Function”, Journal of Real Estate Finance and Economics, 5:197-217.34. Fabozzi, Frank, H. Gifford Fong(1994), Advanced Fixed-Income Portfolio Management, McGraw Hill.35. Grove, M.A., (1974) “On Duration and Optimal Maturity Structure of the Balance Sheet”, Journal of Economics and Management Sciences, 5:696-709.36. Green, J. and J.B. Shoven (1986) “The Effect of Interest Rates on Mortgage Prepayments”, Journal of Money, Credit, and Banking, 18:40-59.37. Gibbons, M.R., and K., Ramaswamy, (1993) “A test of CIR Model of Term Structure”, Review of Financial Studies, 6:619-658.38. Gagnon, L., and L.D., Johnson, (1994) “Dynamic Immunization Under Stochastic Interest Rates”, Journal of Portfolio Management, Spring:48-54.39. Heuson, A.J., (1988) “Mortgage Termination and Pool Characteristics: Some additional Evidence”, Journal of Financial Research, 11:143-152.40. Hopewell, M.H. and G.G. Kaufman (1973) “Bond Price Volatility and Term to Maturity:A Generalized Respecification.” American Economic Review 63:749-53.41. Ho, T. S., and S. B., Lee, (1986) “Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 41:1011-1029.42. Heston, L.P., (1988) “Large Sample Properties of Generalized Method of Moments Estimators”, Econometrica, 50:1029-1054.43. Hull, J. and A. White, (1990) “Pricing Interest Rates Rate Derivatives Securities” The Review of Financial Studies, 3:573-592.44. Heath, D.C., R.A., Jarrow and A. Morton (1992) “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, 60:77-105.45. Ho, J.I.(2001), Surplus Management with Embedded Option Properties under Interest Rate and Default Risk, Unpublished Master’s Thesis, Department of Finance, National Central University, Taiwan.46. Ingersoll, J.E., J., Skelton and R.L. Weil, (1978), “Duration Forty Years Later”, Journal of Financial and Quantitative Analysis, 13:627-650.47. Kolb, R.W., J. Corgel, and R. Chiang. (1982) “Effective hedging of mortgage interest rate risk”, Housing Finance Review, 135-146.48. Kau J.B. et al.(1987) “The Valuation and Securitization of Commercial and Multifamily Mortgages”, Journal of Banking and Finance, 525-546.49. Kau, J.B. et al., (1990) “The Valuation and Analysis of Adjustable Rate Mortgages”, Management Science, 36:1417-1431.50. Kau J.B.et al.,(1992) “A generalized Valuation Model for Fixed-Rate Residential Mortgages”, Journal of Money, Credit, and Banking, 24:279-299.51. Kalotay, A., G.O. Williams and F.J. Fabozzi (1993) “A Model for Valuing Bonds and Embedded Options”, Financial Analysts Journal, June:35-46.52. Kau, J.B. et al.,(1995) “The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment”, Journal of Real Estate Finance and Economics, 11:5-36.53. Lamm-Tennant, Joan, (1989), “Asset/Liability Management for the Life Insurer”, Journal of Risk and Insurance, 56:501-517.54. Livingston, G.Douglas, (1990), Bond risk analysis : a guide to duration and convexity, New York, NY : New YorK Institute of Finance.55. Longstaff, F.A., and E.S. , Schwartz (1992) “A Two Factor Interest Rates Model and Contingent Claims Valuation”, The Journal of Fixed Income, 16-23.56. Lo, C.C.(2001), Yield Curve Estimation Under Stochastic Interests Rates Models: Taiwan Government Bond Market Empirical Study, Unpublished Master’s Thesis, Department of Money and Banking, National Chenohi University, Taiwan.57. Macaulay, Frederick R. (1938), The movement of interest rates, bonds, yields and stock prices in the United States since 1985, New York: Columbia University Press.58. Navratil, F.J., (1985) “The Estimation of Mortgage Prepayment Rates”, Journal of Financial Research, 8:107-117.59. Peters, H.F., S.M., Pinkus and D.J. Askin, (1984) “Figuring the Odds: A Model of Prepayments”, Secondary Mortgage Markets, May:19-23.60. Phillips, R.A., E., Rosenblatt and J.H. Vanderhoff (1996) “The Probability of Fixed and Adjustable Rate Mortgage Termination”, Journal of Real Estate Finance and Economics, 13:95-104.61. Reilly Frank K. (1992) Investment, Fort Worth, Tex. : Dryden Press.62. Reitano, Robert R., (1992) “Non-Parallel Yield Curve Shifts and Immunization”, Journal of Portfolio Management, Spring:36-43.63. Reitano, Robert R., (1996) “Non-Parallel Yield Curve Shifts and Stochastic Immunization”, Journal of Portfolio Management, 22:71-78.64. Staking, Kim B., (1989) “Interest Rate Sensitivity and the Value of Surplus Duration Mismatch in the Property-Liability Insurance Industry”, Doctoral Dissertation, University of Pennsylvania, Philadelphia65. Staking Kim B. and David F. Babbel,(1995), “The Relation Between Capital Structure, Interest Rate Sensitivity, and Market Value in the Property-Liability Insurance Industry”, Journal of Risk and Insurance, 62:690-718.66. Staking, Kim B. and David F. Babble, (1997), “Insurer Surplus Duration and Market Value Revisited”, Journal of Risk and Insurance, 64:739-743.67. Tzeng, L.Y., J. L. Wang, and J. H. Soo, (2000) “Surplus Management Under a Stochastic Process”, Journal of Risk and Insurance, 67:451-462.68. Vasicek, Oldrich, (1977) “An Equilibrium Characterization of Term Structure”, Journal of Financial Economics, 5:177-188.69. Van Horne, James C., (1990) Financial Market Rates And Flows, 3rd edition, Englewood Cliffs, New Jersey, Prentice Hall.70. Vetzal, K.R., (1994) “A Survey of Stochastic Continuous Time Models of the Term Structure of Interest Rates”, Insurance: Mathematics and Economics, 14:139-161.71. VanderHoff, James, (1996) “Adjustable and Fixed Rate Mortgage Termination, Option Values and Local Market Conditions: An Empirical Analysis”, Journal of Real Estate Finance and Economics, 24:379-396.72. Vetzal, K. (1997) “Stochastic volatility, movements in short term interest rates, and bond option value”, Journal of Banking and Finance, 21:169-196.73. Zorn P.M., and M.J., Lea (1989) “Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Date”, AREUEA Journal, 17:118-136.74. Zenios, S.A. et al., (1998) “Dynamic Models for Fixed-Income Portfolio Management Under Uncertainty” Journal of Economic Dynamics and Control, 22:1517-1541.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top