美國政府支持機構所發行之房貸基礎證券是否無違約風險

Chien-Yao Lin; 林建佑

請用此 Handle URI 來引用此文件： http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22855

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.advisor	廖咸興(Hsien-Hsing Liao)
dc.contributor.author	Chien-Yao Lin	en
dc.contributor.author	林建佑	zh_TW
dc.date.accessioned	2021-06-08T04:30:51Z	-
dc.date.copyright	2010-01-21
dc.date.issued	2009
dc.date.submitted	2009-11-27
dc.identifier.citation	[1]. Srinivas Nippani; Pu Liu; Craig T. Schulman. 'Are Treasury Securities Free of Default?' Journal of Financial and Quantitative Analysis, Vol. 36, No. 2, Special Issue on International Corporate Governance. (Jun., 2001), 251-265. [2]. Zivney, Terry L.; Marcus, Richard D. 'The Day The United States Defaulted On Treasury Bills,' The Financial Review, (Aug., 1989), 475-489. [3]. Thomas, Jason. 'Problems at Freddie Mac and Fannie Mae: Too Big to Fail?' (September , 2003), Available at SSRN: http://ssrn.com/abstract=1318325 [4]. Camara, Antonio, Simkins, Betty J. and Popova, Ivilina. 'An Analysis of the Implied Probability of Bankruptcy for Chapter 11 Firms and Global Banks Impacted by the Subprime Crisis,' (July 20, 2008). Available at SSRN: http://ssrn.com/abstract=773844 [5]. James P. Rothberg; Frank E. Nothaft; Stuart A. Gabriel. 'On the Determinants of Yield Spreads Between Mortgage Pass-Through and Treasury Securities,' Journal of Real Estate Finance and Economics, (1989), 301-315. [6]. A. Craig MacKinlay; “Event Studies in Economics and Finance,” Journal of Economic Literature, (Mar., 1997), Vol. 35, No. 1, 13-39
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22855	-
dc.description.abstract	在2008 年7 月爆發的二房事件，引發投資人對於此信用評等為AAA 的政府隱性擔保房貸機構產生倒閉的疑慮，我們將說明事件爆發後，投資人確實有不安的反應並且反應在其證券價格上。另外，事件的收尾是二房由美國政府接管，我們亦發現接管後其要求報酬率顯著下降，甚至比二房事件前的要求報酬率下降許多，暗示著在沒有政府的顯性擔保下，即便是像二房這樣看似不可能倒閉的機構，也被投資人要求信用風險溢酬。	zh_TW
dc.description.abstract	The chain of events was originated from the subprime crisis, which resulted in FNMA-FHLMC crisis on July, 2008. The crisis caused a default potential for GSEs MBS. We examine the effect of this event chain on the yield spreads between FNMA MBS and GNMA MBS and between FHLMC MBS and GNMA MBS. We find that both the FNMA-GNMA and FHLMC-GNMA spreads were increased during the event period. There was also evidence that the taking over action had a sustained effect on FNMA-GNMA and FHLMC-GNMA spreads. We can conclude there existed default premiums for these GSEs MBS.	en
dc.description.provenance	Made available in DSpace on 2021-06-08T04:30:51Z (GMT). No. of bitstreams: 1 ntu-98-R96723062-1.pdf: 931533 bytes, checksum: 4a97a5e9c4c4b45b9a575b98b49d493e (MD5) Previous issue date: 2009	en
dc.description.tableofcontents	Chapter 1 Introduction - 1 - Chapter 2 Introduction to GSEs - 4 - 2.1 GSEs (Government-Sponsored Enterprises) - 4 - 2.2 Fannie Mae (FNMA) - 5 - 2.3 Freddie Mac (FHLMC) - 7 - 2.4 Ginnie Mae (GNMA) - 8 - Chapter 3 Empirical evidence - 9 - 3.1 Comparison of Yield Spreads between Event and Pre-Event Periods - 9 - 3.2 Comparison of Yield Spreads between Post-Event and Pre-Event Periods - 15 - Chapter 4 Conclusion and Recommendation - 22 - Appendix - 23 - References - 28 -
dc.language.iso	en
dc.subject	事件研究	zh_TW
dc.subject	違約	zh_TW
dc.subject	房利美	zh_TW
dc.subject	房地美	zh_TW
dc.subject	Default	en
dc.subject	Event Study	en
dc.subject	FHLMC	en
dc.subject	FNMA	en
dc.title	美國政府支持機構所發行之房貸基礎證券是否無違約風險	zh_TW
dc.title	Are GSEs MBS free of default	en
dc.type	Thesis
dc.date.schoolyear	98-1
dc.description.degree	碩士
dc.contributor.oralexamcommittee	李阿乙,陳勝源
dc.subject.keyword	違約,房利美,房地美,事件研究,	zh_TW
dc.subject.keyword	Default,FNMA,FHLMC,Event Study,	en
dc.relation.page	28
dc.rights.note	未授權
dc.date.accepted	2009-11-30
dc.contributor.author-college	管理學院	zh_TW
dc.contributor.author-dept	財務金融學研究所	zh_TW
顯示於系所單位：	財務金融學系

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