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題名 以比例危險模型估計房貸借款人提前清償及違約風險
作者 鍾岳昌
Chung, Yueh-chang
貢獻者 姜堯民
Chiang, Yao-ming
鍾岳昌
Chung, Yueh-chang
關鍵詞 提前清償
違約
比例危險模型
競爭風險
時間相依變數
存活分析
prepayment
default
proportional hazard model
competing risk
survival analysis
time-varying variables
time-dependent variables
Cox
日期 2003
上傳時間 17-Sep-2009 19:14:50 (UTC+8)
摘要 房屋貸款借款人對於其所負貸款債務的處分有兩種潛在風險行為,分別是提前清償及違約。這兩種借款人風險行為不管是對金融機構的資產管理,或是對近年在財務金融領域的不動產證券化而言,都是相當重要的探討議題,原因在於提前清償及違約帶來了利息收益與現金流量的不確定性,進而影響不動產抵押債權的價值。也就是為貸款承作機構、證券化保證機構及證券投資人帶來風險。
借款人決定提前清償及違約與否,除了與借款人自身特性及貸款條件有關外,尚受到隨時間經過而不斷變動的變數所影響,亦即許多影響因子並非維持在貸款起始點的狀態,而是會在貸款存續期間動態調整。進一步影響借款人行為,而這類變數即為時間相依變數(time –dependent variables,或time-varying variables)。因此,本研究利用便於處理時間相依變數的比例危險模型(Proportional Hazard Model)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、貸款條件及總體經濟等變數與借款人風險行為的關係。
實證結果顯示,借款人特徵部分的教育程度對提前清償及違約風險影響最為明顯,教育程度越高,越會提前清償,越低則較會違約。房屋型態則透天厝較非透天厝容易提前清償及違約。貸款條件中的貸款金額及貸款成數皆與違約為正相關,亦即利息負擔越重,借款人違約風險升高。總體經濟方面,借款人對利率變動最為敏感,反映利率代表借款人的資金成本,是驅動借款人提前清償及違約的財務動機與誘因。
參考文獻 一、中文部分
1. 王琮生,民國九十二年,房貸保險之費率結構分析-競爭風險模型之應用,朝陽科技大學財務金融學系未出版碩士論文。
2. 陳文達、李阿乙與廖咸興,民國九十一年,資產證券化 理論與實務,智勝文化出版。
3. 郭姿伶,民國八十八年六月,住宅房屋抵押貸款之提前清償與逾期放款,國立中正大學財務金融研究所未出版論文。
4. 黃文啟,民國九十一年,以LOGIT模型研究借款人特性與不動產抵押貸款提前償還之關係,國立政治大學財務管理學系未出版碩士論文。
5. 劉展宏,民國九十年,我國一般購屋貸款提前清償之實證研究,2001年中華民國住宅學會第十屆年會論文集,頁393-415。
6. 劉展宏,民國九十一年,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,頁46-58。
7. 劉展宏與張金鶚,民國八十八年,一般購屋貸款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,頁177-195。
8. 劉展宏與張金鶚,民國九十年二月,購屋貸款提前清償行為之研究,住宅學報,第十卷第一期,頁29-49。
二、英文部分
1. Allison, P.D., 1995, Survival analysis using the SAS system:a practical guide, Cary, N.C.:SAS Institute.
2. Charles, A.C. and Y. Deng, 2002, A Dynamic Analysis of Fixed-and Adjustable-Rate Mortgage Terminations, Journal of Real Estate Finance and Economics, 24:1/2, pp.9-33.
3. Ciochetti, B.A., Y. Deng, B. Gao, and R. Yao, 2002, The Termination of Commercial Mortgage Contracts Through Prepayment and Default:A Proportional Hazard Approach with Competing Risks, Real Estate Economics, Vol.30, 4, pp.595-633.
4. Cox, D.R., 1972, Regression Models and Life-Tables, Journal of the Royal Statistical Society, Series B (Methodological) 34, pp.187-220.
5. Cox, D.R., 1975, Partial Likelihood, Biometrika 62, pp.269-276.
6. Cox, D.R. and D. Oakes, 1984, Analysis of Survival Data, Chapman and Hall:London.
7. Deng, Y., 1997, Mortgage Termination:An Empirical Hazard Model with Stochastic Term Structure, Journal of Real Estate Finance and Economics 14, pp.309-331.
8. Deng, Y., J.M. Quigley, and R. Van Order, 1996, Mortgage default and low downpayment loans:The costs of public subsidy, Regional Science and Urban Economics 26, pp.263-285.
9. Deng, Y., J.M. Quigley and R. Van Order, 2000, Mortgage terminations, heterogeneity and the exercise of mortgage options, Econometrica, Vol.68, No.2, pp.275-307.
10. Follain, J.R., J. Ondrich and G. Sinha, 1996, Ruthless prepayment?Evidence from Multifamily Mortgages, Metropolitan Studies Program Series Occasional Paper No.177.
11. Foster, Chester, and R. Van Order, 1984, An Option-Based Model of Mortgage Default, Housing Finance Review 3(4), pp.351-372.
12. Giliberto, S.M. and T.G. Thibodeau, 1989, Modeling Conventional Residential Mortgage Refinancings, Journal of Real Estate Finance and Economics, 2, pp.285-299.
13. Green, J. and J.B. Shoven, 1986, The Effects of Interest Rates on Mortgage Prepayments, Journal of Money, Credit, and Banking, Vol.18, No.1, pp.41-59.
14. Hosmer, D.W. and S. Lemeshow, 1999, Applied Survival Analysis: Regression Modeling of Time to Event Data, New York:John Wiley & Sons.
15. Lacour-Little, M., 1999, Another Look at the Role of Borrower Characteristics in Predicting Mortgage Prepayments, Journal of Housing Research, Vol.10, pp.45-60.
16. Pavlov, A. D., 2001, Competing Risks of Mortgage Termination:Who Refinances, Who Moves, and Who Defaults? Journal of Real Estate Finance and Economics, 23:2, pp.185-211.
17. Quigley, J.M., 1987, Interest Rate Variations, Mortgage Prepayments and Household Mobility, The Review of Economics and Statistics, Vol.69, No.4, pp.636-643.
18. Quigley, J.M. and R. Van Order, 1990, Efficiency in the Mortgage Market:The Borrower’s Perspective, AREUEA Journal, Vol.18, No.3, pp.237-252.
描述 碩士
國立政治大學
財務管理研究所
91357021
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091357021
資料類型 thesis
dc.contributor.advisor 姜堯民zh_TW
dc.contributor.advisor Chiang, Yao-mingen_US
dc.contributor.author (Authors) 鍾岳昌zh_TW
dc.contributor.author (Authors) Chung, Yueh-changen_US
dc.creator (作者) 鍾岳昌zh_TW
dc.creator (作者) Chung, Yueh-changen_US
dc.date (日期) 2003en_US
dc.date.accessioned 17-Sep-2009 19:14:50 (UTC+8)-
dc.date.available 17-Sep-2009 19:14:50 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:14:50 (UTC+8)-
dc.identifier (Other Identifiers) G0091357021en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34048-
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) 91357021zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) 房屋貸款借款人對於其所負貸款債務的處分有兩種潛在風險行為,分別是提前清償及違約。這兩種借款人風險行為不管是對金融機構的資產管理,或是對近年在財務金融領域的不動產證券化而言,都是相當重要的探討議題,原因在於提前清償及違約帶來了利息收益與現金流量的不確定性,進而影響不動產抵押債權的價值。也就是為貸款承作機構、證券化保證機構及證券投資人帶來風險。
借款人決定提前清償及違約與否,除了與借款人自身特性及貸款條件有關外,尚受到隨時間經過而不斷變動的變數所影響,亦即許多影響因子並非維持在貸款起始點的狀態,而是會在貸款存續期間動態調整。進一步影響借款人行為,而這類變數即為時間相依變數(time –dependent variables,或time-varying variables)。因此,本研究利用便於處理時間相依變數的比例危險模型(Proportional Hazard Model)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、貸款條件及總體經濟等變數與借款人風險行為的關係。
實證結果顯示,借款人特徵部分的教育程度對提前清償及違約風險影響最為明顯,教育程度越高,越會提前清償,越低則較會違約。房屋型態則透天厝較非透天厝容易提前清償及違約。貸款條件中的貸款金額及貸款成數皆與違約為正相關,亦即利息負擔越重,借款人違約風險升高。總體經濟方面,借款人對利率變動最為敏感,反映利率代表借款人的資金成本,是驅動借款人提前清償及違約的財務動機與誘因。
zh_TW
dc.description.tableofcontents 第一章 緒論..................................................1
第一節 研究動機..........................................3
第二節 研究目的..........................................5
第三節 研究架構..........................................6

第二章 相關理論基礎與文獻回顧................................8
第一節 理論基礎介紹......................................8
第二節 文獻回顧.........................................12

第三章 研究方法.............................................27
第一節 存活分析介紹.....................................27
第二節 比例危險模型.....................................33
第三節 資料來源.........................................40
第四節 變數說明.........................................41

第四章 實證結果分析.........................................48
第一節 基本統計量.......................................48
第二節 實證結果分析.....................................53

第五章 結論與建議...........................................67
第一節 研究結論.........................................67
第二節 研究建議.........................................70

參考文獻.....................................................71
一、中文部分.............................................71
二、英文部分.............................................72
zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091357021en_US
dc.subject (關鍵詞) 提前清償zh_TW
dc.subject (關鍵詞) 違約zh_TW
dc.subject (關鍵詞) 比例危險模型zh_TW
dc.subject (關鍵詞) 競爭風險zh_TW
dc.subject (關鍵詞) 時間相依變數zh_TW
dc.subject (關鍵詞) 存活分析zh_TW
dc.subject (關鍵詞) prepaymenten_US
dc.subject (關鍵詞) defaulten_US
dc.subject (關鍵詞) proportional hazard modelen_US
dc.subject (關鍵詞) competing risken_US
dc.subject (關鍵詞) survival analysisen_US
dc.subject (關鍵詞) time-varying variablesen_US
dc.subject (關鍵詞) time-dependent variablesen_US
dc.subject (關鍵詞) Coxen_US
dc.title (題名) 以比例危險模型估計房貸借款人提前清償及違約風險zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、中文部分zh_TW
dc.relation.reference (參考文獻) 1. 王琮生,民國九十二年,房貸保險之費率結構分析-競爭風險模型之應用,朝陽科技大學財務金融學系未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 2. 陳文達、李阿乙與廖咸興,民國九十一年,資產證券化 理論與實務,智勝文化出版。zh_TW
dc.relation.reference (參考文獻) 3. 郭姿伶,民國八十八年六月,住宅房屋抵押貸款之提前清償與逾期放款,國立中正大學財務金融研究所未出版論文。zh_TW
dc.relation.reference (參考文獻) 4. 黃文啟,民國九十一年,以LOGIT模型研究借款人特性與不動產抵押貸款提前償還之關係,國立政治大學財務管理學系未出版碩士論文。zh_TW
dc.relation.reference (參考文獻) 5. 劉展宏,民國九十年,我國一般購屋貸款提前清償之實證研究,2001年中華民國住宅學會第十屆年會論文集,頁393-415。zh_TW
dc.relation.reference (參考文獻) 6. 劉展宏,民國九十一年,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,頁46-58。zh_TW
dc.relation.reference (參考文獻) 7. 劉展宏與張金鶚,民國八十八年,一般購屋貸款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,頁177-195。zh_TW
dc.relation.reference (參考文獻) 8. 劉展宏與張金鶚,民國九十年二月,購屋貸款提前清償行為之研究,住宅學報,第十卷第一期,頁29-49。zh_TW
dc.relation.reference (參考文獻) 二、英文部分zh_TW
dc.relation.reference (參考文獻) 1. Allison, P.D., 1995, Survival analysis using the SAS system:a practical guide, Cary, N.C.:SAS Institute.zh_TW
dc.relation.reference (參考文獻) 2. Charles, A.C. and Y. Deng, 2002, A Dynamic Analysis of Fixed-and Adjustable-Rate Mortgage Terminations, Journal of Real Estate Finance and Economics, 24:1/2, pp.9-33.zh_TW
dc.relation.reference (參考文獻) 3. Ciochetti, B.A., Y. Deng, B. Gao, and R. Yao, 2002, The Termination of Commercial Mortgage Contracts Through Prepayment and Default:A Proportional Hazard Approach with Competing Risks, Real Estate Economics, Vol.30, 4, pp.595-633.zh_TW
dc.relation.reference (參考文獻) 4. Cox, D.R., 1972, Regression Models and Life-Tables, Journal of the Royal Statistical Society, Series B (Methodological) 34, pp.187-220.zh_TW
dc.relation.reference (參考文獻) 5. Cox, D.R., 1975, Partial Likelihood, Biometrika 62, pp.269-276.zh_TW
dc.relation.reference (參考文獻) 6. Cox, D.R. and D. Oakes, 1984, Analysis of Survival Data, Chapman and Hall:London.zh_TW
dc.relation.reference (參考文獻) 7. Deng, Y., 1997, Mortgage Termination:An Empirical Hazard Model with Stochastic Term Structure, Journal of Real Estate Finance and Economics 14, pp.309-331.zh_TW
dc.relation.reference (參考文獻) 8. Deng, Y., J.M. Quigley, and R. Van Order, 1996, Mortgage default and low downpayment loans:The costs of public subsidy, Regional Science and Urban Economics 26, pp.263-285.zh_TW
dc.relation.reference (參考文獻) 9. Deng, Y., J.M. Quigley and R. Van Order, 2000, Mortgage terminations, heterogeneity and the exercise of mortgage options, Econometrica, Vol.68, No.2, pp.275-307.zh_TW
dc.relation.reference (參考文獻) 10. Follain, J.R., J. Ondrich and G. Sinha, 1996, Ruthless prepayment?Evidence from Multifamily Mortgages, Metropolitan Studies Program Series Occasional Paper No.177.zh_TW
dc.relation.reference (參考文獻) 11. Foster, Chester, and R. Van Order, 1984, An Option-Based Model of Mortgage Default, Housing Finance Review 3(4), pp.351-372.zh_TW
dc.relation.reference (參考文獻) 12. Giliberto, S.M. and T.G. Thibodeau, 1989, Modeling Conventional Residential Mortgage Refinancings, Journal of Real Estate Finance and Economics, 2, pp.285-299.zh_TW
dc.relation.reference (參考文獻) 13. Green, J. and J.B. Shoven, 1986, The Effects of Interest Rates on Mortgage Prepayments, Journal of Money, Credit, and Banking, Vol.18, No.1, pp.41-59.zh_TW
dc.relation.reference (參考文獻) 14. Hosmer, D.W. and S. Lemeshow, 1999, Applied Survival Analysis: Regression Modeling of Time to Event Data, New York:John Wiley & Sons.zh_TW
dc.relation.reference (參考文獻) 15. Lacour-Little, M., 1999, Another Look at the Role of Borrower Characteristics in Predicting Mortgage Prepayments, Journal of Housing Research, Vol.10, pp.45-60.zh_TW
dc.relation.reference (參考文獻) 16. Pavlov, A. D., 2001, Competing Risks of Mortgage Termination:Who Refinances, Who Moves, and Who Defaults? Journal of Real Estate Finance and Economics, 23:2, pp.185-211.zh_TW
dc.relation.reference (參考文獻) 17. Quigley, J.M., 1987, Interest Rate Variations, Mortgage Prepayments and Household Mobility, The Review of Economics and Statistics, Vol.69, No.4, pp.636-643.zh_TW
dc.relation.reference (參考文獻) 18. Quigley, J.M. and R. Van Order, 1990, Efficiency in the Mortgage Market:The Borrower’s Perspective, AREUEA Journal, Vol.18, No.3, pp.237-252.zh_TW