利率可調整之不動產抵押貸款證券之風險評估─風險值之應用
Other Title
Risk Evaluation of Adjustable Rate Mortgage-backed Securities---Application of Value-at-Risk
Date Issued
2003
Date
2003
Author(s)
DOI
912416H002040
Abstract
Under the growing pressure of financial crisis that is due to the
lack of tools of asset liability management, the Legislative
Yuan has approved the law “Financial Asset Securitization Act“. It means that the mechanism of mortgage securitization is established. However, the most popular mortgage products
in Taiwan are interest rate adjustable rather than fixed rate mortgages. It is questionable to directly apply the empirical
results from market of the States to Taiwan market.
Therefore, the study is to apply the newly developed risk
measure “value-at-risk” to the risk evaluation of the adjustable rate mortgage-backed securities. The results of this study can be summarized as follows: (1) The basic pricing model is appropriate and the simulation prices converge. (2) The higher the mean reverting speed the
lower the value-at-risk. (3) The higher the interest rate
volatility the higher the value-at-risk. (4) The higher the
lifetime interest rate cap, the lower the value-at-risk. (5) The
higher the margin the higher the value-at-risk. (6) the higher the OAS the lower the value-at-risk.
Subjects
Adjustable rate mortgage-backed securities
risk evaluation
Value-at-Risk
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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