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研究生:張智明
研究生(外文):Chih-Ming Chang
論文名稱:自用住宅提前清償風險原因研究以S銀行為例
論文名稱(外文):An Analysis of the Mortgage Prepayment Riskfor S-BANKS
指導教授:楊顯爵楊顯爵引用關係
指導教授(外文):Hsien-Chueh Peter Yang
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:風險管理與保險所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:50
中文關鍵詞:提前清償違約Cox 比例危險模型競爭風險時間相依變數
外文關鍵詞:mortgagesurvival analysisprepaymentaccelerated failure time model
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摘要
自民國80 年政府開放新銀行設立以來,銀行業務雖漸趨多元化,但是傳統放款業務仍為營收主要來源,其中不動產抵押貸款歷年來均佔相當重之比率因此本文,首先研究住宅抵押貸款中,借款人提前清償與逾期還款的行為,進而估計出貸款群組中,提前清償的機率。
房屋貸款借款人對於其所負貸款債務的處分有兩種潛在風險行為,分別是提前清償及違約。這兩種借款人風險行為不管是對金融機構的資產管理,或是對近年在財務金融領域的不動產證券化而言,都是相當重要的探討議題,原因在於提前清償及違約帶來了利息收益與現金流量的不確定性,進而影響不動產抵押債權的價值。
借款人決定提前清償及違約與否,除了與借款人自身特性及貸款條件有關外,尚受到隨時間經過而不斷變動的變數所影響,亦即釵h影響因子並非維持在貸款起始點的狀態,而是會在貸款存續期間動態調整,進一步影響借款人行為,而這類變數即為時間相依變數(time-dependent variables,或time-varying variables)。
因此,本研究利用便於處理時間相依變數的比例危險模型(Proportional Hazard Model)來分析借款人提前清償及違約風險行為,觀察借款人特徵、貸款條件及總體經濟等變數與借款人風險行為的關係。
實證結果顯示,由加速失敗時間模型發現將存活時間配適對數常態分配,其配適度與其他統計分配相較下是最佳的,由對數常態分配模型所觀察的貸款案件提前清償率,隨時間先增加至高點後再以相當平穩且緩慢的速度遞減。
ABSTRACT
The banking services have become more diversified since the government opened the country up to set up new banks in 1991. However, the traditional loan business is still the main revenues of banks, and the mortgage loan business is always account for a large proportion. Therefore, in the dissertation, we will study the behavior of pay-off the mortgage loan ahead or delayed of borrowers at first, and then estimate the probability of pay-off ahead of the group of borrowers.
Except the characteristics of the borrowers and the loan conditions, there are many other variables which will influence the borrowers to decide if to pay off the loans ahead or not as time goes by. That is, many influence factors do not exist at the very beginning, but bob up in the duration of the loan which get the impact on the behavior of borrowers. All these factors are time-dependent variables or time-varying variables.
Therefore, the study applies Proportional Hazard Model in analyzing the behavior of the borrowers in paying off ahead and defaulting, and observing the relationship between the behavior of the borrowers and the variables, such as the features of borrowers, loan conditions, and macroeconomics.
The real diagnosis result show that, by the acceleration defeat time model discovered the survival time will match the suitable logarithm normal distribution under, it will match moderately compares with other statistical assignments will be best, will observe loan case ahead of time paying off rate by the logarithm normal distribution model, first will increase as necessary after the high spot again decreases progressively by quite steady .
目錄
摘要 .........................................................................................................................i
ABSTRACT.................................................................................................................iii
誌謝 ........................................................................................................................v
目錄 .......................................................................................................................vi
表目錄 .....................................................................................................................viii
圖目錄 .......................................................................................................................ix
壹、緒論.......................................................................................................................1
一、研究背景與動機...........................................................................................2
二、研究目的.......................................................................................................4
三、研究範圍與對象...........................................................................................5
四、研究架構.......................................................................................................5
貳、文獻回顧...............................................................................................................7
一、授信與逾期放款之定義...............................................................................7
二、授信種類.......................................................................................................8
三、房屋貸款的定義...........................................................................................9
四、消費者貸款特性分析...................................................................................9
五、房屋貸款特色.............................................................................................12
六、國內外文獻.................................................................................................16
參、研究方法.............................................................................................................22
一、存活函數與危險函數.................................................................................23
二、無母數估計法.............................................................................................24
三、參數估計法.................................................................................................25
(一)指數分配(exponential distribution)...........................................26
(二)偉伯分配(Weibull distribution).................................................26
(三)對數常態分配(log-normal distribution)....................................27
(四)適合度檢定.....................................................................................28
四、半參數估計法.............................................................................................29
肆、實證分析.............................................................................................................31
一、資料來源與變數定義.................................................................................31
二、敘述性統計.................................................................................................32
三、Kaplan-Meier法和生命表法.......................................................................35
四、加速失敗時間模型.....................................................................................39
五、Cox模型......................................................................................................42
伍、結論與後續研究.................................................................................................44
一、研究結論.....................................................................................................44
二、後續研究建議.............................................................................................45
參考文獻.....................................................................................................................46
一、中文部份.............................................................................................................46
二、西文部份.............................................................................................................48
附錄 49
表目錄
表2-1 提前清償、違約的選擇權價值關係...........................................................18
表2-2 國內外文獻彙整表.......................................................................................20
表2-2 國內外文獻彙整表.......................................................................................21
表4-1 住宅抵押貸款變數說明...............................................................................32
表4-2 提前清償與違約交叉分析表.......................................................................33
表4-3 提前清償與借款額交叉分析表...................................................................33
表4-4 提前清償與年齡交叉分析表.......................................................................34
表4-5 提前清償與性別交叉分析表.......................................................................35
表4-6 Kaplan-Meier敘述統計量............................................................................36
表4-7 生命表法統計量...........................................................................................37
表4-8 指數分配參數估計表...................................................................................39
表4-9 偉柏分配參數估計表...................................................................................40
表4-10 對數常態參數估計表...................................................................................41
表4-11 Cox模型逐步選取之參數估計..................................................................42
表A-1 資料數據.......................................................................................................50
圖目錄
圖3-1 指數分配危險率圖形...................................................................................26
圖3-2 偉伯分配危險率圖形...................................................................................27
圖3-4 對數常態分配危險率圖形...........................................................................28
圖4-2 生命表法存線曲線.......................................................................................37
圖4-3 生命表法危險曲線.......................................................................................38
圖4-4 基準存活函數圖..........................................................................................43
參考文獻
一、中文部份
1. 李雅琪,2004,國內房屋貸款違約預測模式之研究-以某商業銀行之授信戶為例,實踐大學企業管理研究所,碩士論文
2. 李婉萱,2000,住屋貸款保險產業風險因子與合理費率之探討,中山大學財務管理研究所,碩士論文。
3. 林建州,2001,銀行個人消費信用貸款授信風險評估模式之研究,國立中山大學財務管理學系研究所,碩士論文
4. 陳家豪,2003,存活分析方法應用於汽車貸款客戶信用風險管理之研究,國立成奶j學統計學系,碩士論文
5. 郭姿伶,2000,住宅貸款之提前清償與逾期還款,國立中正大學財務金融研究所,碩士論文
6. 洪文景,2004,現金卡客戶逾期風險研究,國立高雄第一科技大學風險管理與保險系,碩士論文
7. 鍾岳昌,2004,以比例危險模型估計房貸借款人提前清償及違約風險,國立政治大學財務管理系,碩士論文
8. 張春本,2001,銀行授信評估與品質管理之研究,義守大學管理科學研究所,碩士論文
9. 黃文啟,2002,以LOGIT模型研究借款人特性與不動產抵押貸款提前償還之關係,國立政治大學財務管理學系,碩士論文
10. 黃朝基,2003,不動產抵押貸款提前償還影響因素之研究,逢甲大學土地管理所,碩士論文
11. 曾銘宗,2000,逾期放款比例與經濟成長率及失業率間關係之研究,存款保
險資訊季刊第十四卷第一期,P140-149
12. 彭昭英,2002,SAS與統計分析,十二版,儒林圖書公司,台北市
13. 彭昭英,唐麗英編著,SAS 1-2-3,初版,儒林圖書公司,台北市
14. 鄭婷月,2003,汽車貸款客戶之風險研究,國立成奶j學統計學系,碩士論文
15. 羅際堂,1997,銀行授信與經營,三民書局,台北市
二、西文部份
1. Allison, P. D., 1995, Survival Analysis Using the SAS system: A practical Guide, Cary, NC: SAS Institute Inc.
2. Brian, A. C., Deng, Y., Gao B. and Yao R., 2002, “The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks,” Real Estate Economics, Vol.30, no.4, Page595-639, Winter, 2002
3. David, G. K., 1996, Survival Analysis–A self-Learning Text, Springer, New York.
4. Jeff, M., 2004 “Introduction to Survival Analysis in Business,” The Journal of Business Forecasting Methods & Systems, Vol.23, no.1, Page18, Spring, 2004
5. Kerry, D. V., Walter, B., David, H., Dennis K. and William W., 1993, “Commercial Mortgage Default:Proportional Hazards Estimation Using Individual Loan Histories,” Journal of American Real Estimate and Urban Economics Association, Vol.21, no.4, Page 451-480, 1993
6. Linda, S. K. and Sirmans, C. F., 1994, “Reverse Mortgages and Prepayment Risk,” Journal of the American Real Estate and Urban Economics Association Vol.22, no.2, Page 409–431, 1994
7. Maria, S. and Thomas, L., 2002, “Survival Analysis Methods for Personal Loan Data,” Operations Research, Vol.50, no.2, Page277, Mar/Apr 2002
8. Phillips, Rosenblatt and Vanderhoff, 1996,“The Probability of Fixed-and Agjustable-Rate Mortgage Termination,” Journal Real Estate finance and Economics, Vol.13 1996
9. Toru, S., 2002, “A Prepayment Model for the Japanese Mortgage Loan Market: Prepayment-Type-Specific Parametric Model Approach,” Asia - Pacific Financial Markets, Vol.9, no.3-4, Page305, 2002
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