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研究生:許芳儀
研究生(外文):Fang-Yi Hsu
論文名稱:提前償還風險對不動產抵押貸款證券風險值之影響
論文名稱(外文):The Impact of Prepayment Risk on The Determination of VAR for MBS
指導教授:絲文銘絲文銘引用關係
指導教授(外文):Wen-Ming Szu
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:2010
畢業學年度:98
語文別:中文
論文頁數:67
中文關鍵詞:比例轉機模型風險值不動產抵押貸款證券疲乏效果
外文關鍵詞:BURNOUTPHMVARMBS
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影響不動產抵押貸款證券價格最重要的因素就是提前償還速度及利率高低,然而目前在台灣,只有利率的資料,提前償還速度的資料並不齊備。本研究利用美國的不動產抵押貸款證券資料,同時計算考量此二因素的風險值,與僅考慮利率因素的風險值,求此二風險值的比例,以提供計算台灣不動產抵押貸款證券風險值之參考。
在利率方面,本研究採用CIR(Cox, Ingersoll and Ross)模型在提前償還速度方面,本研究採用比例轉機模型,自變數包含貸款年限、票面利率與市場利率的差距以及疲乏效果。本文的研究結果發現:1. 一般而言,提前償還因素對風險值的影響,隨著不動產抵押貸款證券年限的增加而增加,但當年限長達約28年以上時,此影響反而下降。2. 當市場利率高於、等於票面利率或略微低於票面利率
時,考量提前償還因素將提高風險值;當市場利率遠高於票面利率時,考量提前償還因素反而會降低風險值。3. 其他條件不變,貸款餘額越高,提前償還因素對風險值的影響越大。4. 其他條件不變,票面利率越高,提前償還因素對風險值的影響越小。
The most important factors determining MBS price are prepayment rate and interest rate. However, we don’t have enough data for prepayment in Taiwan. In this paper, we used American data to calculate the MBS VAR considering both prepayment and interest rate, and the one only considering interest rate. The ratio of these two VAR could give us some help while calculating Taiwan MBS VAR.
This paper used CIR(Cox, Ingersoll and Ross)model to deal with interest rate and a proportional hazard model to deal with prepayment. This paper included MBS age, spread between coupon rate and current interest rate, and burnout effect as three independent variables to determine prepayment rate. This paper found: 1. In general, the
influence of prepayment increased as MBS age increased. But the influence decreased while MBS age was over 28 years. 2. If current interest rate was higher than, equal to, or slightly lower than the coupon rate, MBS VAR increased while adding prepayment factor. In contrast, the prepayment affection to MBS VAR was negative if the current
interest rate was much lower than the coupon rate. 3. Other things being equal, the more the MBS balance remained, the larger influence to VAR the prepayment had. 4. Other things being equal, the higher the MBS coupon rate, the smaller influence to VAR the prepayment had.
中文摘要 ........................................................................................................................... I
英文摘要 .......................................................................................................................... II
致謝 ................................................................................................................................ III
目錄 ................................................................................................................................ IV
表目錄 .............................................................................................................................. V
圖目錄 ............................................................................................................................. VI
第一章 緒論 .................................................................................................................. 1
第一節 研究背景 ................................................................................................... 1
第二節 研究動機及目的 ....................................................................................... 4
第三節 研究架構與流程 ....................................................................................... 9
第二章 文獻探討 ........................................................................................................ 11
第一節不動產抵押貸款證券之介紹 ................................................................. 11
第二節 風險值的介紹 ......................................................................................... 15
第三節 利率模型回顧 ......................................................................................... 22
第四節 提前償還模型探討 ................................................................................. 26
第三章 研究方法 ........................................................................................................ 33
第一節 不動產抵押貸款證券的評價 ................................................................. 33
第二節 利率模型的選定 ..................................................................................... 36
第三節 提前償還模型的選定 ............................................................................. 38
第四節 不動產抵押貸款證券風險值的計算 ..................................................... 41
第四章 結果與分析 .................................................................................................... 42
第五章 結論與建議 .................................................................................................... 61
第一節 結論 ......................................................................................................... 61
第二節 研究限制與後續研究建議 ..................................................................... 63
參考文獻 ................................................................................................................. 64
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