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研究生:簡士龍
論文名稱:住宅抵押貸款事務性服務權之評價
論文名稱(外文):Valuation of Mortgage Servicing Contracts
指導教授:林哲群林哲群引用關係
學位類別:碩士
校院名稱:國立清華大學
系所名稱:科技管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:43
中文關鍵詞:事務性服務權提前清償延遲付款
外文關鍵詞:servicing rightprepaymentdelinquency
相關次數:
  • 被引用被引用:2
  • 點閱點閱:106
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本研究的主要目的是嘗試利用雙變數二項式模型,模擬出固定利率住宅抵押貸款中借款人在還款期間內各時間點的利率與房價水準,配合貸款人的決策模型(繼續付款、提前清償或者違約)以及事先假定的事務性服務契約中的各種相關成本與約定,估算出預期現金流量後,利用數值方法決定資產證券化過程中相當關鍵的事務性服務權價值。並且運用情境分析法進一步探討在各種不同的經濟環境變數下,住宅抵押貸款事務性服務權所面臨的價格變動風險。藉由對事務性服務權的本質、所處的環境風險以及契約中約定事項的探討,研究事務性服務權的定價決策,以提供資產證券化中與事務性服務權利相關的政策及住宅抵押貸款債權事務性服務權機構作參考。
研究結果發現:面對利率波動較大的環境下,市場利率下跌的機率越大導致借款人提前清償的機率隨之增加,因而使得固定利率貸款事務性服務權的價值下降。在抵押品的價格波動較大的環境下,房屋價格下跌的機會也越大,導致借款人違約的機會增加,使得事務性服務權的價格下跌。當契約中加入了違約罰則與差額求償或者延長延遲付款的寬限期都可以使事務性服務權的價值上升。
The study develops a model from which a bivariate binomial approach is utilized for pricing individual mortgage servicing contracts. The pricing model is comprised of a stochastic interest rate process and stochastic housing price process, prepayment and default functions of borrowers and an assumed servicing cost, all of which jointly determines the contract’s future net cash flows and the rate at which to discount these cash flows. Then a scenario analysis is employed to examine a myriad of risk exposures of servicing contracts under various economic environments. The implication of this paper is potentially useful for mortgage servicers to investigate the policy-related issues.
The results indicate: (1)The lower the interest rate volatility, the higher will be the price of a MSR.(2)The higher the housing price volatility, the lower will be the price of a MSR.(3)The larger the speed of the adjustment factor, the length of time for varying interest rate is short. The price of a MSR increases when the adjustment factor is big. (4)Imposing the penalty associated with delinquency and deficiency judgment reduce the likelihood of delinquency, thereby increasing the value of MSR.
參考文獻
中文部分
1.黃玉霜(2002),應用蒙地卡羅模擬法評價抵押貸款證券,國立清華大學經濟學系碩士論文。

2.周清佳(2003),抵押貸款違約風險:固定利率與可調整利率貸款比較分析,國立清華大學科技管理研究所碩士論文。

3.許超駿(2003),抵押貸款提前清償風險:固定利率與可調整利率貸款比較分析,國立清華大學科技管理研究所碩士論文。

外文部分
1.Aldrich, Simon P. B., William R. Greenberg and Brook S. Payner (2000), “A Capital Markets View of Mortgage Servicing Rights,” Journal of Fixed Income, Vol 11(1), 37-54.

2.Ambrose, Brent W. and Richard J. Buttimer (2000), “Embedded Options In The Mortgage Contract, ” Journal of Real Estate Finance & Economics, Vol 2 (2,Sep), 95-111.

3.Brown, Scott, Lakhbir Hayre, Kenneth Lauterbach, Richard Payne and Thomas Zimmerman (1992), “Analysis of Mortgage Servicing Portfolios,” Journal of Fixed Income, Vol 2(3), 60-76.

4.Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), “A Theory of the Term Structure of Interest Rates,” Econometrica, Vol 53(2), 385-407.

5.Hilliard, Jimmy E., Adam L. Schwartz and Alan L. Tucker (1996), “ Bivariate Binomial Options Pricing With Generalized Interest Rate Processes,” The Journal of Financial Research, Vol 19(4), 585-602.

6.Hilliard, Jimmy E., James B. Kau and V. Carlos Slawson (1998), “Valuing Prepayment and Default in a Fixed-Rate Mortgage: A Bivariate Binomial Option Pricing Technique,” Real Estate Economics, Vol 26(3), 431-468.
7.Kau, James B., Donald C. Keenan, Walter J. Muller and James F. Epperson (1990), “The Valuation and Analysis of Adjustable Rate Mortgages,” Management Science, Vol 36(12), 1417-1431.

8.Kau, James B., Donald C. Keenan, Walter J. Muller and James F. Epperson (1992), “A Generalized Valuation Model for Fixed-Rate Residential Mortgages,” Journal of Money, Credit and Banking, Vol 24(3), 279-299

9.Kau, James B., and Donald C. Keenan, Walter J. Muller III and James F. Epperson (1994), “The Value at Origination of Fixed-Rate Mortgages with Default and Prepayment,” Journal of Real Estate Finance and Economics, Vol 11(1), 5-36.

10.Lin, Che-Chun (2004), “Valuing Individual Mortgage Servicing Contracts: An Option-Adjusted Spread Approach, ”Journal of Housing Studies, forthcoming

11.McConnell, John J. (1976), “Valuation of A Mortgage Company’s Servicing Portfolio,” Journal of Financial and Quantitative Analysis, Vol 11, 433-53.

12.Nelson, Deniel B. and Krishna Ramaswamy (1990), “Simple Binomial Processes as Diffusion Approximations in Financial Models,” The Review of Financial Studies, Vol 3(3), 393-430.

13.Van Drunen, Leonard D. and John J. McConnell (1988), “Valuing Mortgage Loan Servicing,” Journal of Real Estate Finance and Economics, Vol 1(1), 5-22.
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