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姓名 徐嘉呈(Chia-Cheng Hsu) 查詢紙本館藏 畢業系所 財務金融學系 論文名稱 抵押房貸證劵化之評價
(The Pricing of Mortgage-Backed Securities)相關論文 檔案 [Endnote RIS 格式]
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摘要(中) 本文旨在研究抵押房貸證劵（Mortgage-Backed Securities）的定價。由於抵押房貸證劵的標的物為房貸借款且借款者擁有隨時清償借款的權利，使得抵押房貸證劵的現金流量變的不確定，也因此在對抵押房貸證劵評價之前，必需先考慮借款者的提前清償。我們在文中同時考慮提前清償選擇權以及違約選擇權，並以此來描述借款者會如何選擇最有利的情形提前清償他們的借款，以便我們能夠估計每個月的提前清償率。此外，我們也分別說明短期利率及借款利率對抵押房貸證券的差異，以及可能產生的不同影響。由於貸款群組中的每位借款人特性並不相同，而我們也在模型中納入了借款人異質性的考量。此外，透過不同的模擬比較分析，我們驗證了我們的模型能夠反應出一些影響抵押房貸證券價格、加權平均壽命及存續時間的外生因素。最後，我們也提出一個將抵押房貸證券分割成不同屬性證券的方法。 摘要(英) In this thesis, we use both prepayment option and default option to describe prepayment behavior to find the optimal time for each mortgage holder to prepay his or her mortgage loan. Furthermore, we estimate the prepayment rate at each month. In addition, we separate the role of the short term interest rate as the discount factor from that of the mortgage interest rate as an incentive factor associated with prepayment. The characteristic of each mortgage holder in the pool is all different. Therefore, in our model, we also consider heterogeneity of each mortgage holder in the pool and assume that heterogeneity is the fraction of the remaining principal balance. In addition, through simulations, we find that our model can capture various exogenous factors which influence the price, weighted-average life and duration of MBS. Finally, we develop a way to redistribute cash flows into different tranches. 關鍵字(中) ★ 抵押房貸證券
★ 提前償還
★ 抵押房貸
★ 提前清償
★ 加權平均壽命
★ 存續時間關鍵字(英) ★ MBS
★ Mortgage-Backed Securities
★ Prepayment
★ Asset securitization
★ Weighted-Average Life
★ duration論文目次 Contents
1. Introduction --------------------------------------------------------------01
2. Cash flows of the MBS and valuation formula -------------------------------05
2.1 Without prepayment ----------------------------------------------------05
2.2 With prepayment -------------------------------------------------------06
2.3 Valuation formula for the MBS -----------------------------------------07
3. The model -----------------------------------------------------------------08
3.1 Modeling prepayment and default ---------------------------------------08
3.2 Borrower heterogeneity ------------------------------------------------11
3.3 Interest rates and house prices model ---------------------------------12
4. Monte Carlo simulation for valuation of a MBS -----------------------------14
5. Numerical results ---------------------------------------------------------17
5.1 The effect of parameters in long rate process and house price process -18
5.2 The effect of prepayment rate -----------------------------------------19
5.3 Measure of the MBS life -----------------------------------------------20
5.4 Different payment-structure -------------------------------------------22
6. Conclusion ----------------------------------------------------------------25
References -------------------------------------------------------------------37
Exhibits
Exhibit 1 FJF-01: Hypothetic Two-Tranche Payment-Structure ------------------22
Exhibit 2 FJF-02: Hypothetic Three-Tranche Payment-Structure ----------------24
Tables
Table 1 Different speeds of prepayment rates ---------------------------------28
Table 2 Weighted-average life ------------------------------------------------29
Table 3 Duration -------------------------------------------------------------29
Table 4 Price of a MBS in FJF-01 ---------------------------------------------31
Table 5 Weighted-average life of a MBS in FJF-01 -----------------------------32
Table 6 Duration of a MBS in FJF-01 ------------------------------------------33
Table 7 Price of a MBS in FJF-02 ---------------------------------------------34
Table 8 Weighted-average life of a MBS in FJF-02 -----------------------------35
Table 9 Duration of a MBS in FJF-02 ------------------------------------------36
Figures
Figure 1 The basic mechanism of asset securitization of a MBS ----------------01
Figure 2 The price of a MBS is influenced by the volatility of consol rate ---27
Figure 3 The price of a MBS is influenced by the expected return of house
price --------------------------------------------------------------27
Figure 4 The price of a MBS is influenced by the volatility of house price ---27
Figure 5 The p.d.f of beta distribution with different parameters ------------28
Figure 6 The weight-average life and duration of a MBS are influenced by the
volatility of consol rate -------------------------------------------30
Figure 7 The weight-average life and duration of a MBS are influenced by the
volatility of house price -------------------------------------------30
Figure 8 The weight-average life and duration of a MBS are influenced by the
expected return of house price --------------------------------------30參考文獻 Boudhouk, J., M. Richardson, R. Stanton, and R.Whitelaw, 1997, Pricing mortgage backed securities in a multifactor interest rate environment: a multivariate density estimation approach, Review of financial studies, 10, 405 - 446.
Brennan, M. and Schwartz, E, 1979, A continues time approach to the pricing of bonds, Journal of Finance 4, 323 - 338.
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Chris Downing, Richard Stanton and Nancy Wallace, 2003, An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter, working paper.
Dunn, K. B., and J. J. McConnell, 1981a, A comparison of alternative models for Pricing GNMA Mortgage-Backed Securities," Journal of Finance, 36, 471 - 483.
Dunn, K. B., and J. J. McConnell, 1981b, Valuation of Mortgage-Backed Securities, Journal of Finance, 36, 599 - 617.
Frank J. Fabozzi, 2001, The Handbook of Fixed Income Securities, sixth edition, McGraw-Hill.
Joseph R. Prendergast, March 2003, The complexities of mortgage options, Journal of Fixed Income, Vol. 12, No. 4, 7 - 24.
Kariya, T. and M. Kobayashi, 2000, Pricing mortgage-backed securities (MBS)：a model describing the burnout effect-, Asia-Pacific Financial Markets 7, 189 - 204.
Kau, JB, DC Keenan, WJ Muller Ⅲ, and JF Epperson , 1992, A generalized valuation model for fixed-rate residential mortgages, Journal of Money, Credit, and Banking, Vol. 24, No. 3, 279 - 299.
Kau, J. B., D. C. Keenan, W. J. Muller, III, and J. F. Epperson, 1995, The valuation at origination of fixed rate mortgages with default and prepayment, Journal of Real Estate Finance and Economics 11, 5 -39.
Ren-Raw Chen and T. L. Tyler Yang, 1995, The relevance of interest rate processes in pricing mortgage-backed securities, Journal of Housing Research, Vol. 6, No. 2, p. 315 - 32
Schwartz, E, S. and Torous, W, N, 1989, Prepayment and the valuation of mortgage-backed securities, Journal of Finance 44, 375 - 392.
Schaefer, SM and Schwartz, E. S., 1984, A two-factor model of the term structure: an approximate analysis solution, Journal of Financial and Quantitative Analysis, 19, 4, 413 - 424.
Scott F. Richard and Richard Roll, Spring 1989, Prepayments on fixed-rate mortgage-backed securities, The Journal of Portfolio Management, 73 - 82.
Sheridan Titman and Walter Torous, 1989, Valuation commercial mortgages: an empirical investigation of the contingent-claims approach to pricing risk debt, The Journal of Finance, No. 2, 345 - 373.
Stanton, R, 1995, Rational prepayment and the value of mortgage-backed securities, The Review of Financial Studies 8, 677 - 708.
Stavros Peristiani, December 2003, Modeling the instability of mortgage-backed prepayments, Journal of Fixed Income, 33 - 41.
Takeakikariya and Fumiaki Ushiyama, 2002, A 3-factor Valuation Model for Mortgage-Backed Securities (MBS), working paper.指導教授 岳夢蘭(Meng-Lan Yueh) 審核日期 2004-6-29 推文 plurk
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