臺灣博碩士論文加值系統

房屋修繕貸款歷年來始終為國內金融機構僅次於購屋貸款的消費者貸款，但國內外該貸款的提前清償研究卻極為有限。近年因房貸等證券化商品多樣化與次貸危機發生，重新審視特殊標的資產證券化的現金流量風險、評等與保證等規範，勢必成為主管機關與發行相關機構的重要課題。
提前清償率為貸款與證券化商品評價的關鍵資訊，而提前清償行為研究目的即在探討可觀察的影響因素與其效果，據此建立提前清償函數以模擬與預測提前清償率路徑。證券化商品雖可透過分券與信用增強等設計移轉或分散提前清償風險於特定參於者，但無法降低標的資產固有之提前清償風險。解釋提前清償行為通常基於財務最適化之選擇權觀點，或加入遷徙與金融環境等總體外生變數之次最適化觀點。但上述觀點的實證模式通常限於完全還本與違約兩種貸款終止行為，本文引用貸款需求消費效用最適化理論解釋部份還本行為，預期該行為除降低貸款違約傾向，因貸款金額已下降至借款人最適負債水準，短期內選擇權變數對其再發生的效果應不明顯。基於證券化評價係以群組金額還本比率為基礎，而影響提前清償行為以個體損失為單位，本文分別以指數與Cox迴歸為實證模型，研究結論與建議如下：
1.群組還本比率時間分配不是如log-logistic之單一型態，利用 貸款金額或年紀分群與分段（分期）指數配適可降低變異，提高預測準確性。
2.年紀高的提前還本率平均值最小，但年紀低的變異最小；金額高的提前還本率平均值最大但變異最小。以群組年紀為類別變數沒有明顯還本疲乏現象，唯超過10年後有上升傾向。股價指數報酬與還本率有顯著正相關，而股價報酬之波動對5年貸款期間還本率有顯著正相關。表示借款人金融投資報酬與風險意識會影響房屋修繕貸款持有期間與部位。
3.部份還本比率（疲乏變數）與違約為負相關，但不會加速完全還本；平均而言利差比與部份還本比率對觀察期間部份還本決策有顯著影響，但對部份還本的再發生沒有影響。

The Home Equity Loan has been the second largest consumer loans in Taiwan for twenty years, yet research on this loan was limited. Recently, due to diversified mortgage related securitization and subprime crisis, reviews for the securitization norms about cash flow, rating and guarantees on specific underlying assets will become the key topics for regulators and issuers.
Prepayment rates are a crucial component of any valuation model for mortgage-backed securities and their derivatives. Studies on the behaviors of prepayments are focused on tractable influential variables and their effects, which can be used to specify prepayment functions to simulate and forecast the path of prepayment rates. Although mortgage securitization by tranche and credit enhancement can distribute prepayment risks to some specific participants, these inherent risks can''t be reduced. Prepayment behaviors are mostly explained by option related theory and suboptimal models which add non-option exogenous variables such as move and macroeconomic factors. Based on the above viewpoints, most empirical researches were restricted to loan termination, full-prepayment and default. This thesis cites the theory of consumer''s utility optimization for mortgage demand to interpret behaviors of curtailments. We expect that the curtailment will lower the default tendency, and curtailment recurrences are not affected by financial options variables while the borrower''s short-term optimal liability level has been reached. This study empirically uses exponential regression to model pool-level prepayment rates (based on payment amounts for security valuation), and Cox regression to model loan-level prepayment rates based on counts of loan termination and curtailment for prepayment behaviors. The conclusion and suggestion of this study are as the following:
1. The time distribution of pool-level prepayment rates is not a unimodel like log-logistic. Piecewise exponential fitting by stratifying loan balances and ages can reduce variance of prepayment rates and raise forecast accuracy.
2. The old age loan pool has the smallest average prepayment rate, while the young loan has the smallest variance of these rates. The highest loan balances pool has the largest average prepayment rate and smallest variance of these rates. The prepayment does not burn out with age, but increases rapidly until about year 10. Return of stock index is positively correlated to prepayment rates, while volatility of stock index is negatively correlated to these rates during five-year loan duration. These empirical results indicate that non-housing investment return and risk preference affect the position and holding period of Home Equity Loans.
3. Curtailment rates are negatively correlated to default probability, but cannot accelerate full-prepayment and curtailment recurrences. The first curtailment during the course of study is significantly affected by curtailment rates and the spread between the loan rate and the one-year deposit rate, whereas its recurrences are not.

摘要 I
ABSTRACT III
目次 V
表次 VII
圖次 VIII
第一章 緒論 1
第一節 研究目的 3
第二節 研究架構 3
第二章 制度與文獻回顧 5
第一節 轉付架構(Pass-Through Structure) 6
第二節 支付架構(Pay-Through Structure) 7
第三節 可調整利率房貸(Adjustable-Rate Mortgages, ARM) 8
第四節 房屋修繕貸款 10
第三章 研究方法與假說 12
第一節 或有選擇權方法(contingent claim approach) 12
第二節 次最適化方法(suboptimal approach) 13
一、 提前清償函數 14
二、 群組與個別貸款提前清償 16
三、 統計模型 18
（一） 群組提前還本函數 18
（二） 個別貸款提前清償函數 19
第三節 影響群組與個別貸款提前清償變數探討 22
一、 變數定義 22
二、 分段指數與COX迴歸分析 27
三、 研究假說 27
第四章 實證分析 29
第一節 群組提前清償 29
一、 樣本描述 29
二、 群組與存活因子提前清償率 29
三、 分段指數提前清償率配適 30
四、 分群的群組因子提前清償率 33
（一） 觀察起迄分群還本比較 33
（二） 建構群組年紀的提前清償率 34
（三） 分段指數迴歸結果與分析 35
第二節 個別貸款提前清償 39
一、 樣本資料結構 39
二、 Cox迴歸結果與分析 40
（一） 貸款終止 40
（二） 部份還本 41
（三） 貸款終止與部份還本行為比較 42
第五章 結論與建議 44
附表 47
附圖 50
參考文獻 53
附錄 57
註釋 62

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