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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34044
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34044


    Title: 住宅抵押貸款提前還款與違約風險動態條件機率分析
    Authors: 張偉智
    Chang ,Wei-Chih
    Contributors: 姜堯民
    張偉智
    Chang ,Wei-Chih
    Keywords: 提前清償
    違約風險
    動態調整
    MBS評價
    證券化
    prepayment
    default risk
    dynamic
    valuation od MBS
    securization
    Date: 2003
    Issue Date: 2009-09-17 19:13:41 (UTC+8)
    Abstract: 金融機構在承做住宅抵押貸款時,面臨兩種風險,分別是提前清償及違約。這兩種借款人風險行為對金融機構的資產管理產生相當大的影響,尤其在不動產證券化的推動上,都是評價證券價格的關鍵因子,因此,討論借款者提前還款與違約行為,是近年不動產證券化領域中重大議題。
    借款人決定提前清償及違約與否,除了與借款人特性之外尚有房屋特性與財務選擇上的特性,且有許多影響因子並非維持在貸款起始的狀態,而是會在貸款存續期間內隨著時間遷移有所改變,因此,本文在進一步研究影響借款人行為時,處理時間相依變數,利用動態調整過後的變數來分析借款人提前清償及違約風險行為,觀察借款人特徵、房屋型態及貸款條件等變數與借款人風險行為的關係並進行證券價格MBS的評價。
    實證結果顯示,借款人特徵部分並不會影響提前清償但會影響違約風險。且借款者在財務選擇上面,會有落後反映的現象,亦即隨著時間的經過,借款者才會選擇有利於自己的財務決策,且雖然本國貸款為浮動利率貸款,但是影響借款者最深的仍然是利率相關因素,且觀察到借款者對於財務上面的好處比壞處有更敏感的現象,顯示出借款者比較趨近於風險愛好者。
    在MBS評價上發現,影響價格的最重要因素在於放款的品質,因此,要真正落實抵押住宅證券化的實行,關鍵在於金融機構必須篩選優良放款進行證券化,才能吸引投資人,增加住宅抵押貸款證券化發行的可行性。
    Reference: 一、 中文部分:
    1. 劉展宏、張金鶚,一般購屋與首次購屋貸款提前清償之比較研究,1999 年中華民國住宅學會第八屆年會論文集
    2. 施恩,房屋貸款還款速度之研究,國立台灣大學商學研究所碩士論文,1994年 6月
    3. 王濟川、郭志剛,Logistic回歸模型方法與應用,五南出版,2003年3月
    4. 郭姿伶,住宅貸款之提前清償與逾期放款,國立中正大學財務金融所碩士論文,2000年6月
    5. 劉展宏,我國一般購屋貸款提前清償之實證分析,2001年中華民國住宅學會第十屆年會論文集
    6. 劉展宏,我國購屋貸款提前清償機率之研究,2002年中華民國住宅學會第十一屆年會論文集
    英文部分
    Ambrose, B.L. and A.B Sanders, 2001, “Commercial Mortgage Securities: Prepayment and Default.” , unpublished paper
    Anderson, R. and J. VanderHoff , 1998, “Mortgage Default Rates and Borrower Race”, Journal of real Estate Research ,Vol.18,No2,pp279-289
    Archer, W. R. , D.C. Ling and G..A. McGill , 1997, “The Effect of Income and Collateral Constraints on Residential Mortgage Terminiations”,Regional Science and Urban Economics,Vol 26,PP.235-261
    Bennett, P. , R.C. Peach, S.V. Peristiani , and R.F. Jonathan , 1997, “Credit, Equity, and Mortgage Refinancing”, FRBNY Econimic policy review 1997.
    Calhoun, C.A. and Y.H. Deng , 2002, “A Dynamic Analysis of Fixed-and Adjustable-rate Mortgage Terminations”,the Journal of Real Estate Finance and Economics,Vol 24 ,pp.9-33
    Chau, K.W. , F. Pretorius and W.M. So , 2000, “Factors Affecting Mortgage Prepayment in Hong Kong”, Pacific Rim Real Estate Society Conference 2000
    Deng, Y.H., J.M. Quigley and R.Van Order ,2000, “Mortgage Terminations, Heterogeneity and the exercise of Mortgage Options” Econometrica Vol.68,No2 ,pp.275-307.
    Feldman, D. and G. Shulamith , 2003, “Mortgage Default: Classification trees analysis”, the Pinhas center for development TEL-AVIV University, July 2003
    Hall ,A. R. , 1985, “Valuing the Mortgage Borrower’s Prepayment Option”, Journal of the American Real Estate and Urban Economics, Vol.13, No.3, pp. 229-247.
    Kau, J. B. and T.W. Kim , 1992, “ The Timing of Prepayment”, The Journal of Real Estate Finance and Economics , Vol 7,pp.221-228
    Lea, J.M. and P.M. Zorn,1989, “Mortage Borrower Repayment Behavior:A Microeconomics Analysis with Canadian Adjustable Rate Mortgage Data” ,unpublished paper
    LaCour-Little, Michael, 1999, “Another Look at the role of Borrower Characteristics in Predicting Mortgage Prepayment” , Journal of Housing Research ,Vol. 10 , pp.45-60.
    Quingley, J.M. , 1987, “Interest rate Variations, Mortgage Prepayments and Household Mobility”, The review of Economics and Statistics, Vol. LXIX, No4, pp636-643.
    Roll, R. and F. Scott , 1989,” Prepayments on Fixed Rate Mortgage-Backed Securities”, Journal of Portfolio Management(Spring),pp.73-82
    Description: 碩士
    國立政治大學
    財務管理研究所
    91357009
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091357009
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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