請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38885完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興 | |
| dc.contributor.author | "Liao, Kun-Yu" | en |
| dc.contributor.author | 廖堃宇 | zh_TW |
| dc.date.accessioned | 2021-06-13T16:50:45Z | - |
| dc.date.available | 2006-07-04 | |
| dc.date.copyright | 2005-07-04 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-06-23 | |
| dc.identifier.citation | 中文部分
1. 江常維，抵押貸款相關證券之風險評估-風險值(Value at Risk)之應用，國立台灣大學財務金融研究所碩士論文，民國89年。 2. 黃至民，利率可調整之不動產抵押貸款證券之評價與分析-CIR利率模型與邏輯斯蹄提前還本模型之結合與應用，國立台灣大學財務金融研究所碩士論文，民國91年。 3. 陳文達，李阿乙，廖咸興，資產證券化-理論與實務，智勝文化出版，民國91年。 二、英文部分 1. Black, F., E. Derman, and W. Toy. 'A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options.' Financial Analysts Journal, 1990, pp. 33-39. 2. Brennan, M. J. and E. S. Schwartz. 'An Equilibrium Model of Bond Pricing and a Test of Market Efficiency.' Journal of Financial and Quantitative Analysis, Vol. 17, 1982, pp. 301-329. 3. Brown, S. J., and P. H. Dybvig, 'The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structur of Interest Rates,' The Journal of Finance, Vol. 41, 1986, pp. 617 -630. 4. Brown, R. H. and S. M. Schaefer. “The Term Structure of Real Interest Rates and the Cox, Ingersoll, and Ross Model.' Journal of Financial Economics, Vol. 35, 1994, pp. 3-42. 5. Buser, S., P. Hendershott, and A. Sanders. “Determinants of the Value of the Call Options on Default-Free Bonds.' Journal of Business, Vol. 63, 1990, pp. 33-50. 6. Charles A. Calhoun and Yongheng Deng. “ A Dynamic Analysis of Fixed- and Adjusted- Rate Mortgage Terminations.” Journal of Real Estate Finance and Economics, Vol. 24, 2002, pp.9-33. 7. Chen, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sander. 'An Empirical Comparison of Alternative Models of the Short-Term Rate.' The Journal of Finance, Vol. 48, 1992, pp.1209-1227. 8. Chen, Ren-Raw and Tyler T, Yang. “The Relevance of Interest Rate Processes in Pricing Mortgage-Backed Securities.” Journal of Housing Research, Vol. 6, no. 2, 1995, pp.315-332 9. Chen, Ren-Raw, Liao, Hsien-Hsing, Tyler T, Yang. “ An Equilibrium Mortgage Pricing Model.” working paper, 2004. 10. Cheyette, O. “Advances in Fixed Income Valuation Modeling and Risk Management.” Frank J. Fabozzi Associates Publish, 1997. 11. Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. “ A Theory of the Term Structure of Interest Rates.” Econometrica, Vol. 53, 1985b, pp. 385-408. 12. Deng, Y.H., J.M. Quigley and R.Van Order. ” Mortgage Terminations, Heterogeneity and the exercise of Mortgage Options.” Econometrica, Vol. 68, 2000, pp.275-307. 13. Dunn, K. B., and J. J. McConnell. “ Valuation of GNMA Mortgage Backed Securities.” Journal of Finance, Vol. 36, 1981, pp.599-617. 14. Fabozzi, F.J and David Yuen. “ Managing MBS Portfolios.” New Hope Publish, 1998. 15. Fabozzi, F.J. “ Advances in the Valuation and Management of Mortgage-Backed Securities.” Prentice-Hall International, Inc. Publish, 1998. 16. Gibbons, M. R., and K. Ramaswamy. 'A Test of the Cox, Ingersoll, and Ross Model of the Term Structure.' The Review of Financial Studies, Vol. 6, 1993, pp.619-658. 17. Heath, K., R. Jarrow, and A. Morton. 'Bond Pricing and the Term Structure of Interest Rate : A New Methodology.' Econometrica, Vol. 60, 1992, pp. 77-105. 18. Henry Buist and Tyler T, Yang. “ Pricing the Competing Risks of Mortgage Default and Prepayment in Stochastic Metropolitan Economies.” working paper, 1998. 19. Ho, T. S. Y., and S. B. Lee. 'Term Structure Movements and Pricing Interest Rate Contingent Claims.' The Journal of Finance, Vol. 41, 1986, pp.1011-29. 20. Hull, J., and A. White. 'Pricing Interest Rate Derivative Securities.' Review of Financial Studies, Vol. 3, 1990a, pp.573-92. 21. Hull, J., and A. White. “Valuing Derivatives Securities Using the Explicit Finite Difference Method.' Journal of Financial and Quantitative Analysis, Vol. 25, 1990b, pp.87-100. 22. Kau, J. B. “An overview of the option-theoretic pricing of mortgages.” Journal of Housing Research, Vol. 6, 1995, pp.217–244. 23. Kau, J. B., D. C. Keenan, W. J. Muller, III, and J. F. Epperson. “The valuation at origination of fixed rate mortgages with default and prepayment.” Journal of Real Estate Finance and Economics, Vol. 11,1995, pp.5–39 24. Litterman, R., and J. Scheinkman. 'Common Factors Affecting Bond Returns.' Journal of Fixed Income, 1991, p,p.54-61. 25. Longstaff, F. A., and E. S. Schwartz. 'Interest Rate Volatility andthe Term Structure : A Two-Factor General Equilibrium Model.' The Journal of Finance, Vol. 47, 1992, pp. 1259-1282. 26. Neftic, N. Salih. “An Introduction to the Mathematics of Financial Derivatives.” Academic Press Publish, 1996. 27. Paul Glasserman. “Monte Carlo Methods in Financial Engineering.” Springer Publish, 2003. 28. Peter Hördahl & David Vestin. “Interpreting Implied Risk-Neutral Densities : The Role of Risk Premia.” working paper, 2004. 29. Rebonato, Riccardo. “Interest-Rate Option Models : Understanding, Analysis and Using Models for Exotic Interest-Rate Options.” Wiley Publish,1998. 30. Richard A. Philips, Eric Rosenblatt, James H. Vanderhoff. “ The Probability of Fixed and Adjustable Rate Mortgage Termination.” AREUEA, 1996. 31. Schwartz, E. S., and W. N. Torous. “Prepayment and the Valuation of Mortgage Backed Securities.” Journal of Finance, Vol. 44, 1989, pp.375-392. 32. Schwartz, E. S., and W. N. Torous. “Prepayment, Default, and the Valuation of Mortgage Pass - Through Securities.” Journal of Business, 1992, pp.221-239. 33. Sharpe, W. “Capital Asset Price: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, Vol. 19, 1964, pp.425-442. 34. Stanton, R. “Rational Prepayment and the Valuation of Mortgage-Backed Securities.” Review of Financial Studies, Vol. 8, 1995, pp.677-708. 35. Vasicek, O. “An Equilibrium Characterization of the Term Structure.” Journal of Financial Economics, Vol. 5, 1977, pp. 177-188. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38885 | - |
| dc.description.abstract | 傳統上提到衍生性金融商品評價時，風險中立評價方法是最被廣泛使用的方式，但應用於房貸基礎證券評價時，則因房貸基礎證券內隱含的提前還本買權與違約賣權本身並無交易市場，使得這二種風險因子無法藉由連續交易來規避，造成房貸基礎證券運用風險中立方法評價時，可能會產生誤差。本研究以此為出發點，利用Chen, Liao, and Yang (2004)所提出之Equilibrium Mortgage Pricing Model之架構下進行不同風險測度下之評價分析，以探討風險中立評價方法於房貸基礎證券評價之適當性，與利用風險值(Value at Risk, VaR)來評估房貸基礎證券之市場風險時，是否也會因風險中立評價方法而造成影響。在透過一連串的數值分析之下，證明當房貸基礎證券之標的資產無法連續交易時，風險中立方法將產生相當的評價誤差，此外，房貸基礎證券之風險值的評估也將受到影響。 | zh_TW |
| dc.description.abstract | Traditionally, when it comes to derivative pricing, risk neutral pricing is the widely-used methodology. However, when it applies to mortgage-backed security valuation, the risk neutral methodology may result in pricing biases. It is due to that there is no trading market for both the prepayment call option and default put option embedded in the mortgage-backed security. Therefore, the two risk factors can not be hedged away via continuous trading. This research will proceed on basis of this issue and make use of the Equilibrium Mortgage Pricing Model proposed by Chen, Liao, and Yang (2004) to implement mortgage-backed security pricing under different probability measure to investigate if the risk neutral methodology is appropriate for mortgage-backed security pricing. At the same time, the research will also study if the risk neutral methodology will affect Value at Risk measuring the market risk of the mortgage-backed security. Via a number of numerical examples, it demonstrates that large pricing biases are introduced by the risk neutral methodology when the underlying asset, the mortgage pool backing the mortgage-backed security, is not continuously traded. In addition, the risk neutral methodology also results in the measurement biases in the Value at Risk of the mortgage-backed security. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T16:50:45Z (GMT). No. of bitstreams: 1 ntu-94-R92723051-1.pdf: 1252330 bytes, checksum: 5a44717749de02183d103ea8e6b08cb2 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | 壹、 緒論： 1
貳、 研究方法 7 一、利率模型之選用-CIR利率模型 7 二、住宅抵押貸款提前還本率與違約率之估計 16 (一) 多元邏輯斯蹄模型(multinomial logit model)之介紹 18 (二) 解釋變數說明 19 1. 貸款溢價(Mortgage premiun value, MP) 19 2. 借款人所擁有的房屋權益價值( Borrower’s equity) 20 3. 重新貸款疲乏(Burnout) 21 4. 殖利率曲線斜率 22 5. 貸款價值比(Loan to Value Ratio, LTV) 22 6. 相對貸款規模(Relative Loan Size) 23 三、折現率之計算 24 參、 模擬過程與分析結果 26 一、 住宅抵押貸款設計規格 26 三、 市場利率之模擬 29 四、 房屋價格之模擬 31 五、 提前還本與違約機率模型 31 六、 現金流量的計算 34 七、 現金流量結果分析 36 (一) 利用CLY-CPR所得之結果 37 (二) 利用多元邏輯斯蹄模型所得之結果 41 八、 房貸基礎證券之評價分析 45 (一) 房貸基礎證券評價結果 45 (二) 敏感性分析 50 1. 利率與房屋價格間相關係數( ) 50 2. 利率的平均反轉速度(κ) 53 3. 利率的波動率(σ) 55 九、 房貸基礎證券之風險值(Value at Risk,簡稱為VaR)分析 57 肆、 結論與建議 63 | |
| dc.language.iso | zh-TW | |
| dc.subject | 證券化；風險中立評價 | zh_TW |
| dc.subject | MBS | en |
| dc.subject | Securitization | en |
| dc.subject | Risk-Neutral Valuation | en |
| dc.title | 房貸基礎證券評價運用風險中立方法之適當性 | zh_TW |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 張森林 | |
| dc.contributor.oralexamcommittee | 林煜宗,葉仕國 | |
| dc.subject.keyword | 證券化；風險中立評價, | zh_TW |
| dc.subject.keyword | Securitization,Risk-Neutral Valuation,MBS, | en |
| dc.relation.page | 68 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2005-06-23 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-94-1.pdf 未授權公開取用 | 1.22 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。