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題名 新型貸款商品之探討
A New Design of Mortgage Products
作者 張嘉堯
Chang, Chia-yao
貢獻者 姜堯民
Chiang, Yao-min
張嘉堯
Chang, Chia-yao
關鍵詞 貸款
mortgage product
日期 2008
上傳時間 9-May-2016 11:45:44 (UTC+8)
摘要 房屋貸款商品的選擇多樣化，房貸借款人想要用最低的成本攤還貸款而貸款的金融機構利用不同型態貸款商品的推出滿足不同的客戶使其利潤極大化。 有一種貸款商品的概念，藉由不同型態的設計吸引高風承受力及低風險承受力的借款，利用一些結構式商品設計的概念，將其每期利息支付重新連結到資本市場，利用不同參與率與分享比率的配置使其有機會提早還清貸款。
本文採用結構型商品的模型，利用極大值選擇權及蒙地卡羅等數值方法，模擬在不同商品契約下，未來可能提前清償還本的可能性。以此做為未來銀行等金融機構發行貸款商品時的參考方向。
There are various types of mortgage products in the mortgage market. Borrowers always want to choose the best case to repay their mortgage loans, whereas lenders tend to maximize their profits by designing new mortgage products which seem to meet the needs of borrowers. Now we have a new design of mortgage products which can attract both high risk-bearing and low risk-bearing borrowers. In the first structure, the mortgage loan is in the form of a traditional fixed-rate mortgage loan with a mechanism which allows borrowers to re-invest their periodical interest payments into risky assets in the capital market. Therefore, borrowers can enjoy the chance to fully repay their mortgage loans if they gain profits in this mechanism. In contrast, borrowers could lose money if their re-investment amount suffers loss. In the second structure, like the fixed-rate mortgage loans, borrowers repay periodically based on the contract mortgage rates set in the initial time they borrow. What’s different is that we have a period where borrowers can accelerate their principal repayment if the asset pools have high rate of return. Besides, we do some scenario analysis based on the virtual contracts we set up and then discuss the potential effects on this mortgage product.
參考文獻 Aim, J., & Follain Jr., J. R. (1984). Alternative mortgage instruments, the tilt problem, and consumer welfare. Journal of Financial & Quantitative Analysis, 19(1), 113.
Alexander, C. (2001). Market models. Chichester: Wiley. Brueckner, J. K. (1994). Borrower Mobility, Adverse Selection and Mortgage Points. Journal of Financial Intermediation 3(4): 416-441.
Brueckner, J. K., & Follain, J. R. (1988). The rise and fall of the ARM: An econometric analysis of mortgage choice. The review of economics and statistics, 70(1), 93.
Campbell, J. Y., & Cocco, J. F. (2003). Household risk management and optimal mortgage choice. Quarterly Journal of Economics, 118(4), 1449-1494.
Chan, S. (1995). Residential mobility and mortgages. NBER Working papers no. 5181, National Bureau of Economic Research, Inc.
Chen, Son-Nan (2006). Financial engineering and innovations (2nd ed.). Taipei: Shing-Lu Book Co..
Doms, M. and Krainer, J. (2007). Innovations in mortgage markets and increased spending on housing. Working paper no. 2007-05, Federal Reserve Bank of San Francisco, from http://www.frbsf.org/publications/economics/papers/2007/wp07-05bk.pdf.
Fobozzi, F. J. (2007). Bond markets, analysis, and strategies (6th ed.). Upper Saddle River, N.J. : Pearson Prentice Hall.
Gary-Bobo, R. J., & Larribeau, S. (2004). A structural econometric model of price discrimination in the french mortgage lending industry. International Journal of Industrial Organization, 22(1), 101.
Giliberto, S. M., & Ling, D. C. (1992). An empirical investigation of the contingent-claims approach to pricing residential mortgage debt. Journal of the American Real Estate and Urban Economics Association, 20(3), 393.
Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
Hayre, L. S., Chaudhary, S., & Young, R. A. (2000). Anatomy of prepayments. The Journal of Fixed Income, 10(1), 19.
Hilliard, J. E., & Kau, J. B. (1998). Valuing prepayment and default in a fixed-rate mortgage: A bivariate binomial options pricing technique. Real Estate Economics, 26(3), 431-468.
Hull, J. C. (2006). Options, futures, and other derivatives (6th ed.). Upper Saddle River
N.J. : Pearson Prentice Hall.
Krainer, J. (2006). Mortgage innovation and consumer choice. FRBSF Economic Letter no. 2006-38.
Leeds, E. M. (1993). The riskiness of price-level adjusted mortgages. Review of Business, 15(1), 42.
Lehnert, A. (2006). Overview of US mortgage markets. Working paper, Bank for International Settlements, from http://www.bis.org/publ/wgpapers/cgfs26lehnert.pdf.
Posey, L. L. and Yavas, A. (2001). Adjustable and fixed rate mortgages as a screening mechanism for default risk. Journal of Urban Economics 49, 54-79.
Sa-Aadu, J., & Megbolugbe, I. F. (1995). Heterogeneous borrowers, mortgage selection, and mortgage pricing. Journal of Housing Research, 6(2), 333-348.
Smurov, James B.KauDonald C.KeenanAlexey A. (2006). Reduced form mortgage pricing as an alternative to option-pricing models. Journal of Real Estate Finance and Economics, 33(3), 183.
Stanton, R. and Wallace, N. (1998). Mortgage choice: What`s the point?. Real Estate Economics, 26(2), 173-205.
Thode, S. F. (1991). Mortgage products: The steady ARM. Mortgage Banking, 51(5), 49.
Thode, S. F., & Kish, R. J. (1994). The zero-coupon/interest-only fixed-rate mortgage:
An alternative for funding low-to-moderate income households. The Journal of Real Estate Research, 9(2), 263.
Thode, S. F. (2000). CMOs, duration risk and a new mortgage. The Journal of Real Estate Research, 19(1/2), 73.
VanderHoff, J. (1996). Adjustable and fixed rate mortgage termination, option values and local market conditions: An empirical analysis. Real Estate Economics, 24(3), 379.
描述 碩士
國立政治大學
財務管理研究所
94357027
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0943570271
資料類型 thesis
dc.contributor.advisor 姜堯民zh_TW
dc.contributor.advisor Chiang, Yao-minen_US
dc.contributor.author (Authors) 張嘉堯zh_TW
dc.contributor.author (Authors) Chang, Chia-yaoen_US
dc.creator (作者) 張嘉堯zh_TW
dc.creator (作者) Chang, Chia-yaoen_US
dc.date (日期) 2008en_US
dc.date.accessioned 9-May-2016 11:45:44 (UTC+8)-
dc.date.available 9-May-2016 11:45:44 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 11:45:44 (UTC+8)-
dc.identifier (Other Identifiers) G0943570271en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94740-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 94357027zh_TW
dc.description.abstract (摘要) 房屋貸款商品的選擇多樣化，房貸借款人想要用最低的成本攤還貸款而貸款的金融機構利用不同型態貸款商品的推出滿足不同的客戶使其利潤極大化。 有一種貸款商品的概念，藉由不同型態的設計吸引高風承受力及低風險承受力的借款，利用一些結構式商品設計的概念，將其每期利息支付重新連結到資本市場，利用不同參與率與分享比率的配置使其有機會提早還清貸款。
本文採用結構型商品的模型，利用極大值選擇權及蒙地卡羅等數值方法，模擬在不同商品契約下，未來可能提前清償還本的可能性。以此做為未來銀行等金融機構發行貸款商品時的參考方向。		zh_TW
dc.description.abstract (摘要) There are various types of mortgage products in the mortgage market. Borrowers always want to choose the best case to repay their mortgage loans, whereas lenders tend to maximize their profits by designing new mortgage products which seem to meet the needs of borrowers. Now we have a new design of mortgage products which can attract both high risk-bearing and low risk-bearing borrowers. In the first structure, the mortgage loan is in the form of a traditional fixed-rate mortgage loan with a mechanism which allows borrowers to re-invest their periodical interest payments into risky assets in the capital market. Therefore, borrowers can enjoy the chance to fully repay their mortgage loans if they gain profits in this mechanism. In contrast, borrowers could lose money if their re-investment amount suffers loss. In the second structure, like the fixed-rate mortgage loans, borrowers repay periodically based on the contract mortgage rates set in the initial time they borrow. What’s different is that we have a period where borrowers can accelerate their principal repayment if the asset pools have high rate of return. Besides, we do some scenario analysis based on the virtual contracts we set up and then discuss the potential effects on this mortgage product.en_US
dc.description.tableofcontents 1.Introduction……………………………………………………….. 1
1.1 Background……………………………………………………….. 1
1.2 Purpose…………………………………………………......... 3
1.3 Thesis Outline………………………………………………….. 4
2. Literature Review…………………………………………………. 6
2.1 Mortgage Choice…………………………………………………. 6
2.2 Mortgage Pricing Model…………………………………………. 7
2.3 Alternative Mortgages Design………………………………… 9
3. The Products………………………………………………………. 12
4. Methodology………………………………………………………. 16
4.1 Theoretical Background……………………………………... 16
4.2 Estimating Model Parameters……………………………….. 24
4.3 Pricing………………………………………………………….. 27
5. Results…………………………………………………………….. 31
5.1 Model 1: Fixed Rate Mortgages with the Minimum Investment
Return…………………………………………………………………...31
5.2 Model 2: Fixed Rate Mortgages with the Options on the Minimum of Several Assets……………………………………….. 33
5.3 Sensitivity Analysis……………………………………..... 35
5.4 Discussion………………………………………………………… 39
6. Conclusions and Suggestions…………………………………… 40		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0943570271en_US
dc.subject (關鍵詞) 貸款zh_TW
dc.subject (關鍵詞) mortgage producten_US
dc.title (題名) 新型貸款商品之探討zh_TW
dc.title (題名) A New Design of Mortgage Productsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aim, J., & Follain Jr., J. R. (1984). Alternative mortgage instruments, the tilt problem, and consumer welfare. Journal of Financial & Quantitative Analysis, 19(1), 113.
Alexander, C. (2001). Market models. Chichester: Wiley. Brueckner, J. K. (1994). Borrower Mobility, Adverse Selection and Mortgage Points. Journal of Financial Intermediation 3(4): 416-441.
Brueckner, J. K., & Follain, J. R. (1988). The rise and fall of the ARM: An econometric analysis of mortgage choice. The review of economics and statistics, 70(1), 93.
Campbell, J. Y., & Cocco, J. F. (2003). Household risk management and optimal mortgage choice. Quarterly Journal of Economics, 118(4), 1449-1494.
Chan, S. (1995). Residential mobility and mortgages. NBER Working papers no. 5181, National Bureau of Economic Research, Inc.
Chen, Son-Nan (2006). Financial engineering and innovations (2nd ed.). Taipei: Shing-Lu Book Co..
Doms, M. and Krainer, J. (2007). Innovations in mortgage markets and increased spending on housing. Working paper no. 2007-05, Federal Reserve Bank of San Francisco, from http://www.frbsf.org/publications/economics/papers/2007/wp07-05bk.pdf.
Fobozzi, F. J. (2007). Bond markets, analysis, and strategies (6th ed.). Upper Saddle River, N.J. : Pearson Prentice Hall.
Gary-Bobo, R. J., & Larribeau, S. (2004). A structural econometric model of price discrimination in the french mortgage lending industry. International Journal of Industrial Organization, 22(1), 101.
Giliberto, S. M., & Ling, D. C. (1992). An empirical investigation of the contingent-claims approach to pricing residential mortgage debt. Journal of the American Real Estate and Urban Economics Association, 20(3), 393.
Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
Hayre, L. S., Chaudhary, S., & Young, R. A. (2000). Anatomy of prepayments. The Journal of Fixed Income, 10(1), 19.
Hilliard, J. E., & Kau, J. B. (1998). Valuing prepayment and default in a fixed-rate mortgage: A bivariate binomial options pricing technique. Real Estate Economics, 26(3), 431-468.
Hull, J. C. (2006). Options, futures, and other derivatives (6th ed.). Upper Saddle River
N.J. : Pearson Prentice Hall.
Krainer, J. (2006). Mortgage innovation and consumer choice. FRBSF Economic Letter no. 2006-38.
Leeds, E. M. (1993). The riskiness of price-level adjusted mortgages. Review of Business, 15(1), 42.
Lehnert, A. (2006). Overview of US mortgage markets. Working paper, Bank for International Settlements, from http://www.bis.org/publ/wgpapers/cgfs26lehnert.pdf.
Posey, L. L. and Yavas, A. (2001). Adjustable and fixed rate mortgages as a screening mechanism for default risk. Journal of Urban Economics 49, 54-79.
Sa-Aadu, J., & Megbolugbe, I. F. (1995). Heterogeneous borrowers, mortgage selection, and mortgage pricing. Journal of Housing Research, 6(2), 333-348.
Smurov, James B.KauDonald C.KeenanAlexey A. (2006). Reduced form mortgage pricing as an alternative to option-pricing models. Journal of Real Estate Finance and Economics, 33(3), 183.
Stanton, R. and Wallace, N. (1998). Mortgage choice: What`s the point?. Real Estate Economics, 26(2), 173-205.
Thode, S. F. (1991). Mortgage products: The steady ARM. Mortgage Banking, 51(5), 49.
Thode, S. F., & Kish, R. J. (1994). The zero-coupon/interest-only fixed-rate mortgage:
An alternative for funding low-to-moderate income households. The Journal of Real Estate Research, 9(2), 263.
Thode, S. F. (2000). CMOs, duration risk and a new mortgage. The Journal of Real Estate Research, 19(1/2), 73.
VanderHoff, J. (1996). Adjustable and fixed rate mortgage termination, option values and local market conditions: An empirical analysis. Real Estate Economics, 24(3), 379.		zh_TW