風險聚集與跨區風險相關架構下反向抵押貸款商品定價及風險評估;The Effect of Risk Pooling on Pricing and Risk Analysis for Reverse Mortgage Products in the Presence of Risk Dependence

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題名:	風險聚集與跨區風險相關架構下反向抵押貸款商品定價及風險評估;The Effect of Risk Pooling on Pricing and Risk Analysis for Reverse Mortgage Products in the Presence of Risk Dependence
作者:	楊曉文
貢獻者:	國立中央大學財務金融學系
日期:	2018-12-19
上傳時間:	2018-12-20 12:05:58 (UTC+8)
出版者:	科技部
摘要:	高齡化社會和壽命改善已是全世界關注的議題，如何透過創新金融商品來增加退休財源也變得愈來愈重要。近年來反向抵押貸款商品在英國及美國的市場漸漸受到重視，了解其定價方法以及相關風險是開發反向抵押貸款商品的首要考量。房價、利率及死亡率不確定是其風險主要來源，而房價風險對於反向抵押貸款商品的影響最大，因此，本研究主要目的是提出可捕捉房價長期結構的模型，並進而考量跨區系統性風險架構下反向抵押貸款定價及風險評估之探討。第一年的研究主題是探討反向抵押貸款中房價模型的建構，由於反向抵押貸款商品可供老人住到身故，該商品的期間通常較傳統金融商品來得長，在壽命改善的影響下，房價長期的變化趨勢對該商品的定價和風險評估有顯著的影響，因此第一年度的研究試圖考量總體指標如GDP 或CPI 來建構房價模型，以實際資料來進行模型的配適度分析，並和文獻中所提出的房價模型進行比較以及分析其對反向抵押貸款商品定價及風險評估之影響。第二年的研究主題是探討跨區反向抵押貸款風險聚集(Risk Pooling)的效益，由於跨區房價間可能有相關性，並需考量其間的系統風險，因此本研究主要探討跨區房價的相依性(dependence)，並採用兩種方法來捕捉其相依性，一是以copula functions，另一是以co-movement 的方式來建構。前者將考量動態及靜態copula 的架構下並分析相依性的對稱及不對稱模式，而後者是考量房價及總體因子共同移動的模式，為檢視相依性的模式及模型的配適度，本研究將進行實證分析。第三年的研究主題是建構考量系統風險下跨區反向抵押貸款商品的定價及風險評估模型，並以美國HECM program 為架構。現有文獻在分析HECM loans 時皆忽略跨區的房價系統風險，本研究因此透過本研究所提出的長期總體經濟因子跨區房價模型來推導反向抵押貸款商品之定價以及風險模型，其中定價模型是建構在風險中立的架構下，而風險評估是推導反向抵押貸款商品的風險值以及尾端期望值，數值分析將比較考量房價相依性、不同相依結構以及風險聚集對定價及風險衡量的影響。 ;Aging populations and increases in longevity on a global scale have increased the need for retirement financing. Recently, the development of innovative financial products capable of increasing retirement income has received great attention. According the equity release markets in the U.S. and U.K., reverse mortgages products have become more and more popular in funding the retirement cost. Understanding the pricing and risk evaluation for such products are important. This research project focuses on reverse mortgage products. The primary aim of this study is to examine the risk factors involved in the pricing and risk analysis for reverse mortgage products. Particularly, we consider the systematic risk across regions and develop a pricing and risk analysis framework for reverse mortgage products on a portfolio basis. In year one, we first deal with the house price risk. Reverse mortgage products often cover a long duration, so macroeconomic factors such as GDP or CPI could induce changes in house price return dynamics. To develop a house price return model for pricing long-duration financial products, we can’t ignore the structure change in the house prices. We propose the house price return dynamics incorporating the macroeconomic factors. We will investigate the economic factors that could affect the house price return modeling and compare the goodness fit of the existing house price return model relating to pricing reverse mortgage products. We provide a general valuation model to study the house price model on pricing and risk analysis of HECM program ignoring systematic risk in the first part. In year two, based on the proposed house price return model with economic factors, we then attempt to deal with systematic risk of house price return dynamics in pricing and risk analysis framework. We model and investigate the dependence structures across different housing regions. To model dependence structure, we consider two possible ways. The first method is to use copula functions and the second method is to model the co-movement structure of the house price series and economic factors. Accordingly, we consider both static and dynamic copula models with symmetric and asymmetric structure. Empirical study is conduct to examine the dependence structure. In year three, according to Markowitz diversification principles, if the underlying housing prices do not exhibit strong correlation, a diversified portfolio of reverse mortgages reduces their risk. We attempt to study the impact of dependence risk on HECM program by taking into account the dependence structure of housing returns across different regions. Existing literature has not addressed the dependence of housing prices across different regions to investigate risk for the HECM program yet. In response, we account for the dependence risk of housing price returns when pricing the no-recourse provision (NRP) of reverse mortgages and mortgage insurance to provide a further assessment of the risk in the HECM program. With a risk analysis, we measure risk by comparing benchmark models of an independent structure, including the value at risk (VaR) and conditional tail expectation (CTE) approaches, against the estimated copula models or the co-movement structure with respect to their quantification of the risk.
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
顯示於類別:	[財務金融學系] 研究計畫

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