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研究生:賴書揚
研究生(外文):Shu-Yang Lai
論文名稱:評價理財型房貸內含之選擇權價值及利差相關性之實證研究
論文名稱(外文):An Empirical Study on the Relevance between the Embedded Option Value of Revolving Home Loans and the Mortgage Rate Spread
指導教授:何瑞鎮何瑞鎮引用關係黃志仁黃志仁引用關係
指導教授(外文):Ruey-Jenn HoChih-Jen Huang
口試委員:何瑞鎮黃志仁胡吳岳
口試委員(外文):Ruey-Jenn HoChih-Jen HuangWu-Yueh Hu
口試日期:2014-05-20
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融學系
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:2014
畢業學年度:102
語文別:中文
論文頁數:39
中文關鍵詞:最大概似估計法CIR利率模型最小平方蒙地卡羅模擬隱含選擇權
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  本研究蒐集國內2007年11月~2013年10月兩家銀行所推出的理財型房貸資料,共60筆進行選擇權理論價值之評價以及實證研究。
  理財型房貸中額外給予客戶的信用額度與貸款承諾相似,相當於銀行給予貸款者一個美式賣權,可以在特定期間內將自己的債權出售給銀行。為計算此美式賣權的理論價值,本研究首先利用最大概似估計法(MLE)估算出理財型房貸利率的CIR利率模型參數,並將估算的模型參數帶入最小平方蒙地卡羅模擬法,藉此計算出選擇權的理論價值。再透過實證了解賣權價值與理財型房貸和一般房貸的利率差異之間的相關性,結果呈顯著正相關。
  在控制變數方面因為資料取得上有所限制故將其分為兩階段,第一階段只加入同業平均利率水準與流動性都呈現顯著正相關且符合預期;第二階段再新增存放比率、槓桿乘數和存款準備,始終不影響主要選擇權價值的顯著性。由實證結果可以了解,實務上理財型房貸確實隱含選擇權價值。
  本研究結果可做為銀行在數值化選擇權價值的參考依據。另外,也提供貸款者了解銀行對此類型產品之定價是否合理。
This paper engages the theoretical and empirical study of revolving home loans and the embedded option value by collecting 60 items of two domestic banks from November 2007 to October 2013.

In financial management of home loans, revolving mortgages and loan commitments are similar. The bank commits to the borrower an American put option that the borrower could sell their own claim to the bank within a specified period. To get the American put option implied by the revolving home loans, in the first place, this study uses the maximum likelihood estimation method to calculate the parameters of Cox-Ingersoll-Ross model of financial management of home loans. After that, we use the Least-Squares Monte Carlo method to price the option value implied by revolving home loans. The empirical results reveal that there is a positive relationship between the option value and the mortgage rate spread.

In the second stage of the empirical study, we consider other factors that may affect the mortgage rate spread as control variables. Because of the limitation of getting the information, I divided the empirical study into two parts. First of all, I add the industries’ average interest-rate and liquidity ratio as control variables. Secondly, the Loan-to-Deposit Ratio、Leverage and Deposit Reserves are added into the empirical model. Overall, the option value implied by revolving home loans can explain the mortgage rate spread after adding the control variable. From the empirical results, we get evidence that the bank of revolving home loans sells an embedded option to the borrower.

The results of this study could be a reference to banks. Furthermore, it helps borrowers to evaluate the rationality of the offers from the bank.

摘要 i
Abstract ii
目錄 iii
表目錄 iv
圖目錄 v
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 論文架構 3
第貳章 文獻回顧 5
第一節 選擇權 5
第二節 蒙地卡羅模擬法(Monte Carlo Method) 6
第三節 貸款承諾 7
第四節 蒙地羅模擬法評價美式選擇權 8
第五節 利率期限結構 9
第參章 研究方法 11
第一節 評價模型 11
第二節 研究假說 16
第三節 資料來源 17
第四節 實證模型 17
第肆章 實證分析與結果 22
第一節 評價結果 22
第二節 信用額度選擇權之敏感度分析 24
第三節 敘述性統計 30
第四節 實證結果 31
第伍章 結論與建議 35
第一節 研究結論 35
第二節 研究貢獻 35
第三節 研究限制 36
第四節 研究建議 36
參考文獻 37
一、中文參考文獻 37
二、英文參考文獻 38

一、中文參考文獻
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張治國,2005,信用額度之選擇權價值及其對利差之解釋能力,淡江大學會計研究所碩士論文
張森林及何振文,2002,蒙地卡羅模擬法在美式選擇權評價之應用,Journal of Financial Studies Vol.10 No.3(33-61)
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陳雙卯,2003,海外指數連動債券之設計、評價與避險分析,中山大學財務管理學研究所碩士論文
潘秀珍,2007,銀行授信利率訂價政策與關係人交易之關聯性研究,國立雲林科技大學會計學研究所碩士論文
謝新朋,1995,本國銀行利差決定因素之實證研究,國立中興大學企業管理研究所碩士論文
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