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研究生:李展豪
論文名稱:房屋貸款保證保險違約風險與保險費率關聯性之研究
論文名稱(外文):The study on relationship between the default risk of the mortgage insurance and premium rate
指導教授:林左裕林左裕引用關係林秋瑾林秋瑾引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:地政研究所
學門:社會及行為科學學門
學類:公共行政學類
論文種類:學術論文
畢業學年度:99
語文別:中文
論文頁數:69
中文關鍵詞:房屋貸款保證保險二元邏吉斯特迴歸模型存活分析貸款成數違約風險
外文關鍵詞:Mortgage InsuranceBinary Logistic Regression ModelSurvival AnalysisLoan to Value RatioDefault Risk
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房屋貸款保證保險制度可移轉部分違約風險予保險公司。然而,保險公司與金融機構在共同承擔風險之際,因房貸保證保險制度之施行,於提高貸款成數後,產生違約風險提高之矛盾現象;而估計保險之預期損失時,以目前尚無此制度下之違約數據估計損失額,將有錯估之可能。
本研究以二元邏吉斯特迴歸模型(Binary Logistic Regression Model)與存活分析(Survival Analysis)估計違約行為,並比較各模型間資料適合度及預測能力,進而單獨分析變數-貸款成數對違約率之邊際機率影響。以探討房貸保證保險施行後,因其對借款者信用增強而提高之貸款成數,所增加之違約風險。並評估金融機構因提高貸款成數後可能之違約風險變動,據以推估違約率數據,並根據房貸保證保險費率結構模型,計算可能之預期損失額,估算變動的保險費率。
實證結果發現,貸款成數與違約風險呈現顯著正相關,貸款成數增加,邊際影響呈遞增情形,違約率隨之遞增,而違約預期損失額亦同時上升。保險公司因預期損失額增加,為維持保費收入得以支付預期損失,其保險費率將明顯提升。故實施房屋貸款保證保險,因借款者信用增強而提高之貸款成數,將增加違約機率並對保險費率產生直接變動。

Mortgage insurance system may transfer part of the default risk to insurance companies. However, the implementation of mortgage insurance system, on increasing loan to value ratio, the resulting increase default risk. And literatures estimate the expected loss without the default data, there will be misjudge.
Our study constructs the binary logistic regression model and survival analysis to estimate the mortgage default behavior, and compare the data between the model fit and the predictive power. Analyzes the effect of loan to value ratio on the marginal probability of default rate. Furthermore, assess the financial institutions in the risk of default due to loan to value ratio changes. According to the estimated default rate data, we employ the mortgage insurance rate structural model to calculate the expected amount of loss and the changes in premium rates.
Empirical results found loan to value ratio have a significant positive effect on borrowers’ default. Loan to value ratio increase, the marginal effect progressively increase, along with increasing default rates and expected default losses. Due to the ascendant expected loss, insurance companies increase premiums to cover the expected loss, the premium rate will be significantly improved. Therefore, the implementation of mortgage insurance, credit enhancement for the borrower to improve loan to value ratio, will increase the probability of default and insurance rates.

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究問題與方法 4
第三節 研究範圍與限制 5
第四節 研究架構與流程 7
第二章 文獻回顧 9
第一節 房屋貸款保證保險之概念與沿革 9
第二節 房屋貸款保證保險相關文獻 13
第三節 房屋貸款違約行為相關文獻 18
第三章 研究方法與資料說明 22
第一節 研究方法理論模型 22
第二節 資料說明 28
第四章 實證結果分析 31
第一節 房屋貸款違約因素分析 31
第二節 房屋貸款保證保險費率分析 40
第五章 結論與建議 58
第一節 結論 58
第二節 政策建議 61
第三節 後續研究建議 63
參考文獻 64


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