臺灣博碩士論文加值系統

傳統上提到衍生性金融商品評價時，風險中立評價方法是最被廣泛使用的方式，但應用於房貸基礎證券評價時，則因房貸基礎證券內隱含的提前還本買權與違約賣權本身並無交易市場，使得這二種風險因子無法藉由連續交易來規避，造成房貸基礎證券運用風險中立方法評價時，可能會產生誤差。本研究以此為出發點，利用Chen, Liao, and Yang (2004)所提出之Equilibrium Mortgage Pricing Model之架構下進行不同風險測度下之評價分析，以探討風險中立評價方法於房貸基礎證券評價之適當性，與利用風險值(Value at Risk, VaR)來評估房貸基礎證券之市場風險時，是否也會因風險中立評價方法而造成影響。在透過一連串的數值分析之下，證明當房貸基礎證券之標的資產無法連續交易時，風險中立方法將產生相當的評價誤差，此外，房貸基礎證券之風險值的評估也將受到影響。

Traditionally, when it comes to derivative pricing, risk neutral pricing is the widely-used methodology. However, when it applies to mortgage-backed security valuation, the risk neutral methodology may result in pricing biases. It is due to that there is no trading market for both the prepayment call option and default put option embedded in the mortgage-backed security. Therefore, the two risk factors can not be hedged away via continuous trading. This research will proceed on basis of this issue and make use of the Equilibrium Mortgage Pricing Model proposed by Chen, Liao, and Yang (2004) to implement mortgage-backed security pricing under different probability measure to investigate if the risk neutral methodology is appropriate for mortgage-backed security pricing. At the same time, the research will also study if the risk neutral methodology will affect Value at Risk measuring the market risk of the mortgage-backed security. Via a number of numerical examples, it demonstrates that large pricing biases are introduced by the risk neutral methodology when the underlying asset, the mortgage pool backing the mortgage-backed security, is not continuously traded. In addition, the risk neutral methodology also results in the measurement biases in the Value at Risk of the mortgage-backed security.

壹、 緒論： 1
貳、 研究方法 7
一、利率模型之選用-CIR利率模型 7
二、住宅抵押貸款提前還本率與違約率之估計 16
(一) 多元邏輯斯蹄模型(multinomial logit model)之介紹 18
(二) 解釋變數說明 19
1. 貸款溢價(Mortgage premiun value, MP) 19
2. 借款人所擁有的房屋權益價值( Borrower’s equity) 20
3. 重新貸款疲乏(Burnout) 21
4. 殖利率曲線斜率 22
5. 貸款價值比(Loan to Value Ratio, LTV) 22
6. 相對貸款規模(Relative Loan Size) 23
三、折現率之計算 24
參、 模擬過程與分析結果 26
一、 住宅抵押貸款設計規格 26
三、 市場利率之模擬 29
四、 房屋價格之模擬 31
五、 提前還本與違約機率模型 31
六、 現金流量的計算 34
七、 現金流量結果分析 36
(一) 利用CLY-CPR所得之結果 37
(二) 利用多元邏輯斯蹄模型所得之結果 41
八、 房貸基礎證券之評價分析 45
(一) 房貸基礎證券評價結果 45
(二) 敏感性分析 50
1. 利率與房屋價格間相關係數( ) 50
2. 利率的平均反轉速度(κ) 53
3. 利率的波動率(σ) 55
九、 房貸基礎證券之風險值(Value at Risk,簡稱為VaR)分析 57
肆、 結論與建議 63

中文部分
1.江常維，抵押貸款相關證券之風險評估-風險值(Value at Risk)之應用，國立台灣大學財務金融研究所碩士論文，民國89年。
2.黃至民，利率可調整之不動產抵押貸款證券之評價與分析-CIR利率模型與邏輯斯蹄提前還本模型之結合與應用，國立台灣大學財務金融研究所碩士論文，民國91年。
3.陳文達，李阿乙，廖咸興，資產證券化-理論與實務，智勝文化出版，民國91年。
二、英文部分
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