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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修 | |
| dc.contributor.author | Shu-Ting Hsieh | en |
| dc.contributor.author | 謝書婷 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:57:19Z | - |
| dc.date.copyright | 2009-07-24 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-16 | |
| dc.identifier.citation | Ambrose, B., R.J. Buttimer, and C.A. Capone ,1997, “Pricing Mortgage Default and Foreclosure Delay,” Journal of Money, Credit, and Banking, Vol.29, No.3, 314-325
Austin, K. ,2007, “Zero Down Payment Mortgage Default,” OFHEO working paper Atif, M. and S. Amir ,2008, “The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis,” Unpublished thesis of University of Chicago Cunningham, D.F., and P.H. Hendershott ,1984, “Pricing FHA Mortgage Default Insurance,” Housing Finance Review, Vol.13, 379-392 Dharan, V.G. ,1997, “Pricing Path-Dependent Interest Rate Contingent Claims Using A Lattice,” The Journal of Fixed Income, Vol.6, 40-49 Downing, C., R. Stanton, and N. Wallace ,2001, “An Empirical Test of a Two-factor Mortgage Prepayment and Valuation Model: How Much Do House Prices Matter ?,” Working paper Huang, H.H., and T.S. Lee ,2007, “Valuing Default and Prepayment Options in Mortgages: No-Arbitrage Bivariate Lattice and Its Applications,” Review of Securities & Futures Markets, Vo1.19, No.4, 71-119 Ho, T.L. ,1999, “The Development and Pricing Model of Mortgage-Backed Securities (MBS) for Taiwan,” Unpublished thesis of National Taiwan University Hull, J., and A. White ,1990, “Pricing Interest-Rate-Derivative Securities,” The Review of Financial Studies, Vo1.3, No.4, 573-592 Hull, J., and A. White ,1993, “Efficient Procedures for Valuing European and American Path-Dependent Options,” Journal of Derivatives, Fall, 21-31 Hull, J., and A. White ,1994, “Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models,” Journal of Derivatives, Fall, 7-16 Hilliard, J.E., A.L. Schwartz, and A.L. Tucker ,1996, “Bivariate Binomail Options Pricing with Generalized Interest Rate Processes,” The Journal of Financial Research, Vol.21, No.4, 585-602 Hilliard, J.E., J.B. Kau, and V.C. Slawson ,1998, “Valuing Prepayment and Default in a Fixed-Rate Mortgage: A Bivariate Binomial Option Pricing Technique,” Real Estate Economics, Vol.26, No.3, 431-468 Ju, J.J. ,1999, “Convertible Bond Pricing: a 2-Factor Binomial Tree Approach,” Unpublished thesis of National Taiwan University Kau, J.B., D.C. Keenan, W.J. Muller, and J. F. Epperson ,1992, “A Generalized Valuation Model for Fixed-rate Residential Mortgages,” Journal of Money, Credit and Banking, Vol .24, 279-299 Kalotay, A., G. Williams, and F. Fabozzi ,1993, “A Model for Valuing Bonds and Embedded Options,” Financial Analysts Journal, Vol.49, 35-46 Liu, C.H. ,2002, “The Study of Mortgage Backed Securities Pricing,” Unpublished thesis of National Taiwan University Lu, W.C. ,2000, “On Pricing the Mortgage-Backed Securities— Application of Implied Prepayment,” Unpublished thesis of National Taiwan University Nelson, D., and K. Ramaswamy ,1990, “Simple Binomial Process as Diffusion Approximations in Financial Models,” Review of Financial Studies, Vol.3, No.3, 393-430 Schwartz, E.S., and W.N. Torous ,1989, “Prepayment and the Valuation of Mortgage-Backed Securities,” Journal of Finance, Vo1.44, 375-392 Stanton, R. ,1995, “Rational Prepayment and the Valuation of Mortgage-Backed Securities,” Review of Financial Studies, Vol.18, No.3, 677-708 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25940 | - |
| dc.description.abstract | 我們使用樹狀結構描述利率與房價，並且利用貸款成數(LTV)以及支付金額對收入比率(PTI)來做違約條件的設定，進而計算出違約機率。接著利用敏感性分析測試各參數對違約機率的影響，包含起始利率、利率均數回歸之速度、利率變異數、服務現金流量、房價變異數以及利率與房價間的相關係數。
最後得出以下結論： (1)在其他條件不變下，浮動利率貸款之違約機率較固定利率貸款之違約機率大。 (2)起始利率、利率變異數、服務現金流量以及房價變異數與違約機率呈現正相關情形。 (3)利率均數回歸之速度以及利率與房價間的相關係數與違約機率呈現負相關情形。 | zh_TW |
| dc.description.abstract | The article uses a bivariate pricing lattice to observe different interest rates and housing prices. Then we use loan-to-value ratio and payment-to-income ratio to set the default conditions. And the probabilities of default are then calculated. We have sensitivity tests that describe the changes of the probabilities of default due to the changes of different variables including initial interest rate, mean-reverting speed, volatility of interest rate, cash service flow, volatility of house price and correlation coefficient between interest rate and housing price.
The conclusions are as follows: (1)Under the same condition except that interest rate settings are different, the probabilities of default of adjustable rate mortgages are higher than which of fixed rate mortgages. (2)Initial interest rate, volatility of interest rate, cash service flow and volatility of housing prices appear to be positively related to the probabilities of default. (3)Mean reverting speed of interest rate and correlation coefficient between interest rate and housing price appear to be negatively related to the probabilities of default. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:57:19Z (GMT). No. of bitstreams: 1 ntu-98-R96723069-1.pdf: 3170321 bytes, checksum: fc0f844ccd055a15cb611582bd275e99 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | Ⅰ Introduction………………………………………………1
Ⅱ Literature Review……………………………………….4 Ⅱ.1 Embedded options in mortgages……………………5 Ⅱ.2 Mortgage option pricing models……………………6 Ⅲ The Model……………………………………………………8 Ⅲ.1 The bivariate lattice…………………………………9 Ⅲ.2 The orthogonization…………………………………10 Ⅲ.3 The calibration………………………………………11 Ⅲ.4 The branching procedure……………………………12 Ⅲ.5 The variables in the model………………………13 Ⅲ.6 Dharan (1997) ………………………………………14 Ⅲ.7 Methodology…………………………………………21 Ⅲ.8 Default conditions………………………………22 Ⅲ.9 The generation of the parameters for the interest rate model….22 Ⅳ Results and Discussion……………………………22 Ⅳ.1 Fixed rate mortgages—performance of the model…22 Ⅳ.2 Adjustable rate mortgages—performance of the model…31 Ⅴ Conclusions and Further Applications………………40 References………………………………………………………41 | |
| dc.language.iso | en | |
| dc.title | 從浮動利率貸款論利率風險與信用風險之互動關係 | zh_TW |
| dc.title | The Interaction between Interest Rate Risk and Credit Risk of Adjustable Rate Mortgage | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 廖咸興,王耀輝 | |
| dc.subject.keyword | 抵押房屋貸款,違約機率,提前還款,評價,證劵,化, | zh_TW |
| dc.subject.keyword | mortgage,probability of default,prepayment,valuation,securitization, | en |
| dc.relation.page | 43 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2009-07-16 | |
| 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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| ntu-98-1.pdf 未授權公開取用 | 3.1 MB | Adobe PDF |
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