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https://ah.lib.nccu.edu.tw/handle/140.119/85400| 題名: | 不動產抵押貸款證券化之分析與評價 | 作者: | 廖柏媛 | 貢獻者: | 陳松男 廖柏媛 |
關鍵詞: | 不動產抵押貸款證券化 浮動（調整）利率抵押貸款 浮動（調整）利率傳遞證券 路徑相依 利率樹 蒙地卡羅模擬法 利率衍生性商品 數值方法 |
日期: | 2001 | 上傳時間: | 18-Apr-2016 | 摘要: | 基於國內貸款市場的特性來看，國內金融機構所承作的不動產抵押貸款幾乎都是浮動利率抵押貸款，與美國以固定利率抵押貸款為主的貸款市場發展相當不同，未來台灣若欲發展不動產抵押貸款證券化，最先發展的商品應是符合國內抵押貸款屬性的調整利率傳遞證券，因此本文將針對調整利率傳遞證券做評價。同時，由於傳遞證券具有路徑相依的利率衍生性商品之性質，難以得到評價的封閉解，必須依賴數值方法來評價，評價方法不外乎採用利率樹或蒙地卡羅模擬法，本文將對此兩種評價方法做一深入的探討，同時有別於目前國內相關論文以Hull & White三元利率樹的評價方式，採用蒙地卡羅模擬法來評價，並進行敏感度分析，調整利率傳遞證券的評價結果如下： | 參考文獻: | 一. 中文部份\r\n1. 何澤蘭，\" 台灣不動產抵押債權證券化之推行與評價 \"，國立台灣大學財務金融研究所碩士論文，民國87年。\r\n2. 高心怡，\"結合Hull-White利率模型與PHM提前清償模型評價CMO利率衍生性商品\"， 國立台灣大學財務金融研究所碩士論文，民國89年。\r\n3. 紀如龍，\" 資產證券化－兼論券商參與之影響 \"，大華債券，民國90年\r\n4. 廖咸興，\"台灣執行抵押債權證券化相關課題\"，金融機構債權證券化研討會，2000年10月7日。\r\n5. 臧大年、謝勝哲、鄭惠佳，\" 不動產抵押貸款債權證券化 \"，翰蘆圖書出版有限公司，民國89年1月。\r\n二. 英文部分\r\n1. Akesson, Fredrik and John P. Lehoczky, Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities, Management Science, Vol. 46, No. 9, 2000, pp.1171-1187\r\n2. Asay, Michalel R., Adjustable Rate Mortgages, Mortgage Banking, December 1984, pp. 61-72\r\n3. Bartett, William W., Mortgage-Backed Securities : Products, Analysis, Trading, NYIF Corp., 1989\r\n4. Boyle, Phelim P., Valuing Canadian Mortgage-Backed Securities, Financial Analysts Journal, May-June 1989, pp. 55-60\r\n5. Cummings, Jean and Denise DiPasquale, A Primer on The Secondary Mortgage Market, National Community Development Iniative Meetings, New York，NY, June 1997, pp. 1-10\r\n6. Davidson, Andrew S. and Michael D. Herskovitz, Mortgage-Backed Securities, Probus Publishing Company, 1994\r\n7. Dharan, Venkat G., Pricing Path-Dependent Interest Rate Contingent Claims Using A Lattice, The Journal of Fixed Income, March 1997, pp. 40-49\r\n8. Fabozzi, F.J., Fixed Income Mathematics, IRWIN, 1993\r\n9. Fabozzi, F.J., The Handbook of Mortgage-Backed Securities, McGraw-Hill, 1995\r\n10. Fabozzi, F.J., Valuation of fixed income securities and deratives, published by Frank J. Fabozzi Association, 1995\r\n11. Fabozzi, F.J., Advances in Fixed Income Valuation Modeling and Risk Management, published by Frank J. Fabozzi Association, 1997\r\n12. Goodman, Laurie and Jeffrey Ho, Valuing The Call Option on A Callable Pass-Through, The Journal of Fixed Income, March 1997,pp. 34-39\r\n13. Hayre, Lakhbir S., Sharad Chaudhary and Robert A. Young, Anatomy of Prepayments, The Journal of Fixed Income, June 2000, pp. 19-49\r\n14. Huang, Charles and Warren Xia, Modeling ARM Prepayments, Journal of fixed income, March 1996, pp. 31-44\r\n15. Hu, Joseph and Jerry M. Dell`Isola, ARM Pricing Model, Mortgage Banking, June 1986, pp. 11-26\r\n16. Hull, J.C., and A. White, Numerical Procedures for Implementing Term Structure Models I：Single-Factor Models, Journal of Derivative, Vol. 2, No.1, pp. 7-16, 1994\r\n17. Kau, James B., Donald C. Keenan, Walter J. Muller, III, and James F. Epperson, The Valuation and Analysis of Adustable Rate Mortgages, Management Science, Vol. 36, No. 12, 1990, pp.1417-1431\r\n18. Pavel, Christine A., Player and Pieces , Securitization, Chapter 2,pp. 21-40\r\n19. Sanyal, Ani, Ammunition for ARMs：A Panel Data Approach to Preayment Modeling , Journal of fixed income, December 1994, pp.96-103 | 描述: | 碩士 國立政治大學 金融研究所 88352013 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#A2002001543 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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