https://scholars.lib.ntu.edu.tw/handle/123456789/165848
Title: | 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 Titles: | Risk Evaluation of Adjustable Rate Mortgage-backed Securities---Application of Value-at-Risk | Authors: | 廖咸興 | Keywords: | 利率可調整之抵押貸款證券;風險評估;風險值;Adjustable rate mortgage-backed securities;risk evaluation;Value-at-Risk | Issue Date: | 2003 | Publisher: | 臺北市:國立臺灣大學財務金融學系暨研究所 | Abstract: | 本研究係以郭姿伶(2000 )的提前償還模型 (Logistic Regression Model )並配合CIR 利率模 型,來模擬利率可調整之不動產抵押貸款證券(利 率可調整抵押貸款)的價格,並且微調各個影響利 率可調整抵押貸款的重要參數,以便能更深入地分 析利率可調整抵押貸款的特徵與性質,其結果如下 六點:(1 )本研究所模擬之結果符合基本的財務原 理,因當模擬的次數增多時,模擬出來之價格有往 真實理論價格收斂的情形出現;(2 )當利率的均數 復歸速率越大,利率可調整抵押貸款的價格將會越 高,風險值絕對值(以下風險值皆討論其絕對值) 越低,表示利率可調整抵押貸款上所附的選擇權越 沒價值。(3 )當利率波動性越大時,利率可調整抵 押貸款的價格將會越低,風險值也愈大,表示利率 可調整抵押貸款上所附的選擇權越有價值;(4 )本 研究結果發現當貸款期間利率上限較高時,利率可 調整抵押貸款的價格將越高,風險值越低,表示利 率可調整抵押貸款上所附的Lifetime Cap 越沒價 值;(5 )當Yearly Cap 越大時,選擇權越難進入價 內,Yearly Cap 越沒價值,利率可調整抵押貸款的 價格也就越高,風險值則不受Yearly Cap 的影響; (6 )當Margin 越高,證券未來的現金流量就越高, 利率可調整抵押貸款的價格也就越高,風險值也越 大。(7 )當OAS 越高時,即折現率越高,利率可 調整抵押貸款的價格越低,風險值也越低。 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. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/16279 | Other Identifiers: | 912416H002040 | Rights: | 國立臺灣大學財務金融學系暨研究所 |
Appears in Collections: | 財務金融學系 |
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912416H002040.pdf | 189.09 kB | Adobe PDF | View/Open |
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