1. NCCU Academic Hub
  2. Publications
  3. College of Social Science
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 房屋貸款保證保險違約風險與保險費率關聯性之研究
The study on relationship between the default risk of the mortgage insurance and premium rate
作者 李展豪
貢獻者 林左裕<br>林秋瑾
李展豪
關鍵詞 房屋貸款保證保險
二元邏吉斯特迴歸模型
存活分析
貸款成數
違約風險
Mortgage Insurance
Binary Logistic Regression Model
Survival Analysis
Loan to Value Ratio
Default Risk
日期 2010
上傳時間 3-Sep-2013 14:53:19 (UTC+8)
摘要 房屋貸款保證保險制度可移轉部分違約風險予保險公司。然而，保險公司與金融機構在共同承擔風險之際，因房貸保證保險制度之施行，於提高貸款成數後，產生違約風險提高之矛盾現象；而估計保險之預期損失時，以目前尚無此制度下之違約數據估計損失額，將有錯估之可能。
本研究以二元邏吉斯特迴歸模型(Binary Logistic Regression Model)與存活分析(Survival Analysis)估計違約行為，並比較各模型間資料適合度及預測能力，進而單獨分析變數-貸款成數對違約率之邊際機率影響。以探討房貸保證保險施行後，因其對借款者信用增強而提高之貸款成數，所增加之違約風險。並評估金融機構因提高貸款成數後可能之違約風險變動，據以推估違約率數據，並根據房貸保證保險費率結構模型，計算可能之預期損失額，估算變動的保險費率。
實證結果發現，貸款成數與違約風險呈現顯著正相關，貸款成數增加，邊際影響呈遞增情形，違約率隨之遞增，而違約預期損失額亦同時上升。保險公司因預期損失額增加，為維持保費收入得以支付預期損失，其保險費率將明顯提升。故實施房屋貸款保證保險，因借款者信用增強而提高之貸款成數，將增加違約機率並對保險費率產生直接變動。
Mortgage insurance system may transfer part of the default risk to insurance companies. However, the implementation of mortgage insurance system, on increasing loan to value ratio, the resulting increase default risk. And literatures estimate the expected loss without the default data, there will be misjudge.
Our study constructs the binary logistic regression model and survival analysis to estimate the mortgage default behavior, and compare the data between the model fit and the predictive power. Analyzes the effect of loan to value ratio on the marginal probability of default rate. Furthermore, assess the financial institutions in the risk of default due to loan to value ratio changes. According to the estimated default rate data, we employ the mortgage insurance rate structural model to calculate the expected amount of loss and the changes in premium rates.
Empirical results found loan to value ratio have a significant positive effect on borrowers’ default. Loan to value ratio increase, the marginal effect progressively increase, along with increasing default rates and expected default losses. Due to the ascendant expected loss, insurance companies increase premiums to cover the expected loss, the premium rate will be significantly improved. Therefore, the implementation of mortgage insurance, credit enhancement for the borrower to improve loan to value ratio, will increase the probability of default and insurance rates.
參考文獻 Kendall, Leon T. 及呂桔誠，2000，「房屋貸款保險之經濟價值-以美國房貸保險經驗為例」，『核保學報』，8：287-301。
王美玲，2004，「我國住宅抵押債權違約壓力忍受程度之研究」，朝陽科技大學財務金融所碩士論文：台中。
王儷璇，2004，「商業銀行如何衡量住宅貸款之違約機率與違約損失率-內部模型法之應用」，中央大學財務金融所碩士論文：桃園。
李婉萱，2000，「住宅貸款保險產業風險因子與合理費率結構之探討」，中山大學財務管理研究所碩士論文：高雄。
李馨蘋，2000，「住宅抵押貸款違約風險之探討」，『中華管理評論』，3(3)：111-126。
林師模、陳苑欽，2001，『多變量分析-管理上的應用』，台北：雙葉書廊有限公司。
林左裕、柯俊禎及王琮生，2006，「房貸保險之費率結構研究」，『台灣土地研究』，9(2)：27-52。
吳奕賢，2002，「房屋抵押貸款保險與費率評價之研究」，朝陽科技大學財務金融所碩士論文：台中。
黃弘騰，2002，「住屋抵押貸款保險核保模式之研究-太平產險1090專案與美國MGIC比較分析」，朝陽科技大學財務金融所碩士論文：台中。
楊顯爵、林左裕及陳宗豪，2008，「住宅抵押貸款違約之研究-影響因素之顯著性分析」，『台灣土地研究』，11(2)：1-36。
賴怡妃，2000，「房屋貸款保險在台發展可行性及相關配套措施研究」，中山大學財務管理研究所碩士論文：高雄。
陳思瑩，2006，「住宅抵押貸款保證保險之探討」，政治大學風險管理與保險學系碩士論文：台北。
蘇玟真，2007，「根據理賠件數與金額設定加減費率之探討」，逢甲大學統計與精算研究所碩士論文：台中。
劉代洋、李馨蘋，1991，「購屋貸款與家戶社經特色之實證研究-以台中都會區為例」，『管理科學學報』11(1):109-121。
劉德明，2002，「住宅抵押貸款保險在我國實施之可行性研究」，行政院研究發展考核委員會委託研究計畫報告。
盧秋玲，2005，「住宅金融保證制度可行性與機制建立之研究」，行政院經濟建設委員會委託研究計畫報告。
林秋瑾、江玉盈及張金鶚，2000，「不動產交易保險費率之研究」，住宅學會年會論文集。
賴宗炘、林左裕、林秋瑾及李展豪，2010，「房貸保證保險於台灣實施之費率研究」，中華民國都市計劃學會、區域科學學會、地區發展學會、住宅學會聯合年會論文集。
林士貴、陳明吉、蔡怡純及莊明哲，2010，「景氣循環下不動產抵押貸款保險之評價： 房價指數之實證」，世界華人不動產學會年會論文集。
Ashok, B., Rasa, K., & Branko, U., 2006, “Valuing Mortgage Insurance Contracts in Emerging Market Economies”, Journal of Real Estate Finance and Economics 32:1:9
Aylward, Janes F, 1984, “Anatomy of the Residential Mortgage”, Real Estate Today, 23-25
Berkovec, James A., Glenn B. Canner, Stuart A. Gabriel and Timothy H. Hannan, 1994 , “Race, Redlining, and Residential Mortgage Loan Performance” , Journal of Real Estate Finance and Economics 9:3:263-294
Black, F., & Scholes, M., 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81:3:637
Brueckner, J. K., 1985, “ A Simple Model of Mortgage Insurance”, Real Estate Economics 13:2:129-142
Canner, Glenn B., Stuart A. Gabriel and J. Michael Woolley, 1991, “Race, Default Risk and Mortgage Lending: A Study of the FHA and Conventional Loan Markets,” Southern Economic Journal 249-262
Canner, G. B., & Passmore, W., 1994, “Private mortgage insurance”, Federal Reserve Bulletin 80:10:883
Canner, G. B., & Passmore, W., 1995, “Credit risk and the provision of mortgages to lower-income and minority homebuyers”, Federal Reserve Bulletin 81:11:989
Clauretie, Terrence M., 1987, “The Impact of Interstate Foreclosure Cost Differences and the Value of Mortgages on Default Rate,” AREUEA Journal 15:3:152-167
Clauretie, T. M., 1989, “State Foreclosure Laws, Risk Shifting, and the Private Mortgage Insurance Industry”, The Journal of Risk and Insurance:56:3:544-554
Clauretie, T. M., & Jameson, M., 1990, “Interest Rates and the Foreclosure Process: An Agency Problem in FHA Mortgage Insurance”, The Journal of Risk and Insurance 57:4:701-711
Clauretie, Terrence M., 1990, “A Note on Mortgage Risk: Default vs. Loss Rate” , AREUEA Journal 18:2:202-206
Campbell, Tim S. and J. Kimball Dietrich, 1983, “The Determinants of Default on Insured Conventional Residential Mortgage Loans,” The Journal of Finance 38:5:1569-1581
Cunningham, Donald F. and Charles A. Capone, JR., 1990, “The Relative Termination Experience of Adjustable to Fixed-Rate Mortgages,” The Journal of Finance 1687-1703
Deng, Yong heng, John M. Quigley, and Robert Van Order, 1995, “Mortgage Default and Low Down payment Loans: The Cost of Public Subsidy,” NBER Working Paper #5184
David, L., 2000, “Exporting mortgage insurance beyond the United States”, Housing Finance International 14:4:32
David, L. E., Martin, H., & William, H. W., 2006, “Making the Mortgage Insurance Purchase Decision”, Journal of Financial Planning 19:9:66
Dennis, B., Kuo, C., & Yang, T., 1997, “Rationales of Mortgage Insurance Premium Structures”, Journal of Real Estate Research 14:3:359-378
DF Cunningham, P. H., 1984, “Pricing FHA mortgage default insurance”, National Bureau of Economic Research
Deng, Y. H., J. M. Quigley and R. Van Order, 1996, “Mortgage default and low down payment loans: The costs of public subsidy”, Regional Science and Urban Economics 26:263-285
Deng, Y. H., 1997, “Mortgage termination: An empirical hazard model with stochastic term structure” Journal of Real Estate Finance and Economics 14:309-331
Deng, Y. H., J. M. Quigley and R. Van Order, 2000, “Mortgage terminations, heterogeneity and the exercise of mortgage options”, Econometrica 68:2: 275-307
Gau, George W., 1978, “A Taxonomic Model for The Risk-Rating of Residential Mortgages”, Journal of Business 51:4:687-706
Jaffee, D. M., & Renaud, B., 1996, “Strategies to Develop Mortgage Markets in Transition Economies” SSRN eLibrary
James, B. K., & Donald, C. K., 1996, “An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance”, Journal of Risk and Insurance 63:4:639
Jackson, Ferry R. and David L. Kaserman, 1980, “Default Risk on Home Mortgage Loans: A Test of Competing Hypotheses,” Journal of Risk and Insurance 47:678-690
Jung, Allen F., 1962, “Terms of Conventional Mortgage Loans on Existing Houses,” Journal of Finance 17:432-443
Kau, James B., Donald C. Keenan, Walter J. Muller, III and James F. Epperson, 1992, “A Generalized Valuation Model for Fixed-Rate Residential Mortgages,” Journal of Money, Credit and Banking 24:3:279-299
Kau, J. B., & Keenan, D. C., 1993, “An Option-Based Pricing Model of Private Mortgage Insurance”, Journal of Risk & Insurance 60:2:288-299
Kau, J. B., 1995, “An overview of the option-theoretic pricing of mortgages”, Journal of Housing Research 6:2:217
Kau, J. B., Keenan, D. C., Muller Iii, W. J., & Epperson, J. F., 1995, “The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment”, Journal of Real Estate Finance & Economics 11:1:5-36
Kau, J. B., & Keenan, D. C., 1999, “Catastrophic Default and Credit Risk for Lending Institutions”, Journal of Financial Services Research 15:2:87-102
Kau, J. B. and D. C. Keenan, 1999, “Patterns of rational default” , Regional Science and Urban Economics 29:765-785
Lin, T. C., 2004, “A Study on the Termination Behaviors of Residential Mortgages in Taiwan”, 農業經濟半年刊 76:169.
Lawrence, Edward C., L. Douglas Smith and Malcolm Rhoades, 1992, “An Analysis of Default Risk in Mobile Home Credit,” Journal of Banking and Finance 16:299-312
Lawrence, Edward C. and Nasser Arshadi, 1995, “A Multinomial Logit Analysis of Problem Loan Resolution Choices in Banking,” Journal of Money, Credit and Banking 27:1:202-216
Lo, A. W., 1986, “Logit versus Discriminant Analysis-A Specification Test and Application to Corporate Bankruptcies”, Journal of Econometrics 31:5:118
Ming-Chi Chen, Chia-Chien Chang, Shih-Kuei Lin, So-De Shyu, 2011, “Estimation Of Housing Price Jump Risks And Their Impact On The Valuation Of Mortgage Insurance Contracts”, The Journal of Risk and Insurance, Vol. 77, No. 2, 399-422
Sally, M., & Douglas, W., 2003, “Establishing mortgage guarantee insurance in transition and emerging markets: A case study of Kazakhstan”, Housing Finance International 18:1:10
Spahr, R. W., & Escolas, E. L., 1986, “Mortgage Guaranty Insurance: A Unique Style of Insurance”, Journal of Risk & Insurance 53:2:308-319
Swan, C., 1982, “Pricing Private Mortgage Insurance”, Journal of the American Real Estate & Urban Economics Association 10:3:276-296
Vandell, Kerry D., 1978, “Default Risk Under Alternative Mortgage Instruments,” The Journal of Finance, Vol.33, No.5, pp. 1279-1296
Vandell, Kerry D., 1985, “On the Assessment of Default Risk in Commercial Mortgage Lending,” AREUEA Journal 12:3:270-296
Vandell, Kerry D. and Thomas Thibodeau, 1985, “Estimation of Mortgage Defaults Using Disaggregate Loan History Data,” AREUEA Journal 15:3:292-317
von Furstenberg, George M., 1969, “Default Risk on FHA-Insured Home Mortgages as a Function of the Terms of Financing: A Quantitative Analysis,” Journal of Finance 24:459-477
von Furstenberg, George M., 1970, “Risk Structures and the Distribution of Benefits within the FHA Home Mortgage Insurance Program,” Journal of Money, Credit and Banking 303-322
von Furstenberg, George M. and R. Jeffery Green, 1974, “Home Mortgage Delinquencies: A Cohort Analysis,” Journal of Finance 29:1545-1548
描述 碩士
國立政治大學
地政研究所
98257016
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0982570161
資料類型 thesis
dc.contributor.advisor 林左裕<br>林秋瑾zh_TW
dc.contributor.author (Authors) 李展豪zh_TW
dc.creator (作者) 李展豪zh_TW
dc.date (日期) 2010en_US
dc.date.accessioned 3-Sep-2013 14:53:19 (UTC+8)-
dc.date.available 3-Sep-2013 14:53:19 (UTC+8)-
dc.date.issued (上傳時間) 3-Sep-2013 14:53:19 (UTC+8)-
dc.identifier (Other Identifiers) G0982570161en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59827-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 地政研究所zh_TW
dc.description (描述) 98257016zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 房屋貸款保證保險制度可移轉部分違約風險予保險公司。然而，保險公司與金融機構在共同承擔風險之際，因房貸保證保險制度之施行，於提高貸款成數後，產生違約風險提高之矛盾現象；而估計保險之預期損失時，以目前尚無此制度下之違約數據估計損失額，將有錯估之可能。
本研究以二元邏吉斯特迴歸模型(Binary Logistic Regression Model)與存活分析(Survival Analysis)估計違約行為，並比較各模型間資料適合度及預測能力，進而單獨分析變數-貸款成數對違約率之邊際機率影響。以探討房貸保證保險施行後，因其對借款者信用增強而提高之貸款成數，所增加之違約風險。並評估金融機構因提高貸款成數後可能之違約風險變動，據以推估違約率數據，並根據房貸保證保險費率結構模型，計算可能之預期損失額，估算變動的保險費率。
實證結果發現，貸款成數與違約風險呈現顯著正相關，貸款成數增加，邊際影響呈遞增情形，違約率隨之遞增，而違約預期損失額亦同時上升。保險公司因預期損失額增加，為維持保費收入得以支付預期損失，其保險費率將明顯提升。故實施房屋貸款保證保險，因借款者信用增強而提高之貸款成數，將增加違約機率並對保險費率產生直接變動。		zh_TW
dc.description.abstract (摘要) Mortgage insurance system may transfer part of the default risk to insurance companies. However, the implementation of mortgage insurance system, on increasing loan to value ratio, the resulting increase default risk. And literatures estimate the expected loss without the default data, there will be misjudge.
Our study constructs the binary logistic regression model and survival analysis to estimate the mortgage default behavior, and compare the data between the model fit and the predictive power. Analyzes the effect of loan to value ratio on the marginal probability of default rate. Furthermore, assess the financial institutions in the risk of default due to loan to value ratio changes. According to the estimated default rate data, we employ the mortgage insurance rate structural model to calculate the expected amount of loss and the changes in premium rates.
Empirical results found loan to value ratio have a significant positive effect on borrowers’ default. Loan to value ratio increase, the marginal effect progressively increase, along with increasing default rates and expected default losses. Due to the ascendant expected loss, insurance companies increase premiums to cover the expected loss, the premium rate will be significantly improved. Therefore, the implementation of mortgage insurance, credit enhancement for the borrower to improve loan to value ratio, will increase the probability of default and insurance rates.		en_US
dc.description.tableofcontents 第一章　緒論 1
第一節　研究動機與目的 1
第二節　研究問題與方法 4
第三節　研究範圍與限制 5
第四節　研究架構與流程 7
第二章　文獻回顧 9
第一節　房屋貸款保證保險之概念與沿革 9
第二節　房屋貸款保證保險相關文獻 13
第三節　房屋貸款違約行為相關文獻 18
第三章　研究方法與資料說明 22
第一節　研究方法理論模型 22
第二節　資料說明 28
第四章 實證結果分析 31
第一節　房屋貸款違約因素分析 31
第二節　房屋貸款保證保險費率分析 40
第五章 結論與建議 58
第一節　結論 58
第二節　政策建議 61
第三節　後續研究建議 63
參考文獻 64		zh_TW
dc.format.extent 1558725 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0982570161en_US
dc.subject (關鍵詞) 房屋貸款保證保險zh_TW
dc.subject (關鍵詞) 二元邏吉斯特迴歸模型zh_TW
dc.subject (關鍵詞) 存活分析zh_TW
dc.subject (關鍵詞) 貸款成數zh_TW
dc.subject (關鍵詞) 違約風險zh_TW
dc.subject (關鍵詞) Mortgage Insuranceen_US
dc.subject (關鍵詞) Binary Logistic Regression Modelen_US
dc.subject (關鍵詞) Survival Analysisen_US
dc.subject (關鍵詞) Loan to Value Ratioen_US
dc.subject (關鍵詞) Default Risken_US
dc.title (題名) 房屋貸款保證保險違約風險與保險費率關聯性之研究zh_TW
dc.title (題名) The study on relationship between the default risk of the mortgage insurance and premium rateen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Kendall, Leon T. 及呂桔誠，2000，「房屋貸款保險之經濟價值-以美國房貸保險經驗為例」，『核保學報』，8：287-301。
王美玲，2004，「我國住宅抵押債權違約壓力忍受程度之研究」，朝陽科技大學財務金融所碩士論文：台中。
王儷璇，2004，「商業銀行如何衡量住宅貸款之違約機率與違約損失率-內部模型法之應用」，中央大學財務金融所碩士論文：桃園。
李婉萱，2000，「住宅貸款保險產業風險因子與合理費率結構之探討」，中山大學財務管理研究所碩士論文：高雄。
李馨蘋，2000，「住宅抵押貸款違約風險之探討」，『中華管理評論』，3(3)：111-126。
林師模、陳苑欽，2001，『多變量分析-管理上的應用』，台北：雙葉書廊有限公司。
林左裕、柯俊禎及王琮生，2006，「房貸保險之費率結構研究」，『台灣土地研究』，9(2)：27-52。
吳奕賢，2002，「房屋抵押貸款保險與費率評價之研究」，朝陽科技大學財務金融所碩士論文：台中。
黃弘騰，2002，「住屋抵押貸款保險核保模式之研究-太平產險1090專案與美國MGIC比較分析」，朝陽科技大學財務金融所碩士論文：台中。
楊顯爵、林左裕及陳宗豪，2008，「住宅抵押貸款違約之研究-影響因素之顯著性分析」，『台灣土地研究』，11(2)：1-36。
賴怡妃，2000，「房屋貸款保險在台發展可行性及相關配套措施研究」，中山大學財務管理研究所碩士論文：高雄。
陳思瑩，2006，「住宅抵押貸款保證保險之探討」，政治大學風險管理與保險學系碩士論文：台北。
蘇玟真，2007，「根據理賠件數與金額設定加減費率之探討」，逢甲大學統計與精算研究所碩士論文：台中。
劉代洋、李馨蘋，1991，「購屋貸款與家戶社經特色之實證研究-以台中都會區為例」，『管理科學學報』11(1):109-121。
劉德明，2002，「住宅抵押貸款保險在我國實施之可行性研究」，行政院研究發展考核委員會委託研究計畫報告。
盧秋玲，2005，「住宅金融保證制度可行性與機制建立之研究」，行政院經濟建設委員會委託研究計畫報告。
林秋瑾、江玉盈及張金鶚，2000，「不動產交易保險費率之研究」，住宅學會年會論文集。
賴宗炘、林左裕、林秋瑾及李展豪，2010，「房貸保證保險於台灣實施之費率研究」，中華民國都市計劃學會、區域科學學會、地區發展學會、住宅學會聯合年會論文集。
林士貴、陳明吉、蔡怡純及莊明哲，2010，「景氣循環下不動產抵押貸款保險之評價： 房價指數之實證」，世界華人不動產學會年會論文集。
Ashok, B., Rasa, K., & Branko, U., 2006, “Valuing Mortgage Insurance Contracts in Emerging Market Economies”, Journal of Real Estate Finance and Economics 32:1:9
Aylward, Janes F, 1984, “Anatomy of the Residential Mortgage”, Real Estate Today, 23-25
Berkovec, James A., Glenn B. Canner, Stuart A. Gabriel and Timothy H. Hannan, 1994 , “Race, Redlining, and Residential Mortgage Loan Performance” , Journal of Real Estate Finance and Economics 9:3:263-294
Black, F., & Scholes, M., 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81:3:637
Brueckner, J. K., 1985, “ A Simple Model of Mortgage Insurance”, Real Estate Economics 13:2:129-142
Canner, Glenn B., Stuart A. Gabriel and J. Michael Woolley, 1991, “Race, Default Risk and Mortgage Lending: A Study of the FHA and Conventional Loan Markets,” Southern Economic Journal 249-262
Canner, G. B., & Passmore, W., 1994, “Private mortgage insurance”, Federal Reserve Bulletin 80:10:883
Canner, G. B., & Passmore, W., 1995, “Credit risk and the provision of mortgages to lower-income and minority homebuyers”, Federal Reserve Bulletin 81:11:989
Clauretie, Terrence M., 1987, “The Impact of Interstate Foreclosure Cost Differences and the Value of Mortgages on Default Rate,” AREUEA Journal 15:3:152-167
Clauretie, T. M., 1989, “State Foreclosure Laws, Risk Shifting, and the Private Mortgage Insurance Industry”, The Journal of Risk and Insurance:56:3:544-554
Clauretie, T. M., & Jameson, M., 1990, “Interest Rates and the Foreclosure Process: An Agency Problem in FHA Mortgage Insurance”, The Journal of Risk and Insurance 57:4:701-711
Clauretie, Terrence M., 1990, “A Note on Mortgage Risk: Default vs. Loss Rate” , AREUEA Journal 18:2:202-206
Campbell, Tim S. and J. Kimball Dietrich, 1983, “The Determinants of Default on Insured Conventional Residential Mortgage Loans,” The Journal of Finance 38:5:1569-1581
Cunningham, Donald F. and Charles A. Capone, JR., 1990, “The Relative Termination Experience of Adjustable to Fixed-Rate Mortgages,” The Journal of Finance 1687-1703
Deng, Yong heng, John M. Quigley, and Robert Van Order, 1995, “Mortgage Default and Low Down payment Loans: The Cost of Public Subsidy,” NBER Working Paper #5184
David, L., 2000, “Exporting mortgage insurance beyond the United States”, Housing Finance International 14:4:32
David, L. E., Martin, H., & William, H. W., 2006, “Making the Mortgage Insurance Purchase Decision”, Journal of Financial Planning 19:9:66
Dennis, B., Kuo, C., & Yang, T., 1997, “Rationales of Mortgage Insurance Premium Structures”, Journal of Real Estate Research 14:3:359-378
DF Cunningham, P. H., 1984, “Pricing FHA mortgage default insurance”, National Bureau of Economic Research
Deng, Y. H., J. M. Quigley and R. Van Order, 1996, “Mortgage default and low down payment loans: The costs of public subsidy”, Regional Science and Urban Economics 26:263-285
Deng, Y. H., 1997, “Mortgage termination: An empirical hazard model with stochastic term structure” Journal of Real Estate Finance and Economics 14:309-331
Deng, Y. H., J. M. Quigley and R. Van Order, 2000, “Mortgage terminations, heterogeneity and the exercise of mortgage options”, Econometrica 68:2: 275-307
Gau, George W., 1978, “A Taxonomic Model for The Risk-Rating of Residential Mortgages”, Journal of Business 51:4:687-706
Jaffee, D. M., & Renaud, B., 1996, “Strategies to Develop Mortgage Markets in Transition Economies” SSRN eLibrary
James, B. K., & Donald, C. K., 1996, “An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance”, Journal of Risk and Insurance 63:4:639
Jackson, Ferry R. and David L. Kaserman, 1980, “Default Risk on Home Mortgage Loans: A Test of Competing Hypotheses,” Journal of Risk and Insurance 47:678-690
Jung, Allen F., 1962, “Terms of Conventional Mortgage Loans on Existing Houses,” Journal of Finance 17:432-443
Kau, James B., Donald C. Keenan, Walter J. Muller, III and James F. Epperson, 1992, “A Generalized Valuation Model for Fixed-Rate Residential Mortgages,” Journal of Money, Credit and Banking 24:3:279-299
Kau, J. B., & Keenan, D. C., 1993, “An Option-Based Pricing Model of Private Mortgage Insurance”, Journal of Risk & Insurance 60:2:288-299
Kau, J. B., 1995, “An overview of the option-theoretic pricing of mortgages”, Journal of Housing Research 6:2:217
Kau, J. B., Keenan, D. C., Muller Iii, W. J., & Epperson, J. F., 1995, “The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment”, Journal of Real Estate Finance & Economics 11:1:5-36
Kau, J. B., & Keenan, D. C., 1999, “Catastrophic Default and Credit Risk for Lending Institutions”, Journal of Financial Services Research 15:2:87-102
Kau, J. B. and D. C. Keenan, 1999, “Patterns of rational default” , Regional Science and Urban Economics 29:765-785
Lin, T. C., 2004, “A Study on the Termination Behaviors of Residential Mortgages in Taiwan”, 農業經濟半年刊 76:169.
Lawrence, Edward C., L. Douglas Smith and Malcolm Rhoades, 1992, “An Analysis of Default Risk in Mobile Home Credit,” Journal of Banking and Finance 16:299-312
Lawrence, Edward C. and Nasser Arshadi, 1995, “A Multinomial Logit Analysis of Problem Loan Resolution Choices in Banking,” Journal of Money, Credit and Banking 27:1:202-216
Lo, A. W., 1986, “Logit versus Discriminant Analysis-A Specification Test and Application to Corporate Bankruptcies”, Journal of Econometrics 31:5:118
Ming-Chi Chen, Chia-Chien Chang, Shih-Kuei Lin, So-De Shyu, 2011, “Estimation Of Housing Price Jump Risks And Their Impact On The Valuation Of Mortgage Insurance Contracts”, The Journal of Risk and Insurance, Vol. 77, No. 2, 399-422
Sally, M., & Douglas, W., 2003, “Establishing mortgage guarantee insurance in transition and emerging markets: A case study of Kazakhstan”, Housing Finance International 18:1:10
Spahr, R. W., & Escolas, E. L., 1986, “Mortgage Guaranty Insurance: A Unique Style of Insurance”, Journal of Risk & Insurance 53:2:308-319
Swan, C., 1982, “Pricing Private Mortgage Insurance”, Journal of the American Real Estate & Urban Economics Association 10:3:276-296
Vandell, Kerry D., 1978, “Default Risk Under Alternative Mortgage Instruments,” The Journal of Finance, Vol.33, No.5, pp. 1279-1296
Vandell, Kerry D., 1985, “On the Assessment of Default Risk in Commercial Mortgage Lending,” AREUEA Journal 12:3:270-296
Vandell, Kerry D. and Thomas Thibodeau, 1985, “Estimation of Mortgage Defaults Using Disaggregate Loan History Data,” AREUEA Journal 15:3:292-317
von Furstenberg, George M., 1969, “Default Risk on FHA-Insured Home Mortgages as a Function of the Terms of Financing: A Quantitative Analysis,” Journal of Finance 24:459-477
von Furstenberg, George M., 1970, “Risk Structures and the Distribution of Benefits within the FHA Home Mortgage Insurance Program,” Journal of Money, Credit and Banking 303-322
von Furstenberg, George M. and R. Jeffery Green, 1974, “Home Mortgage Delinquencies: A Cohort Analysis,” Journal of Finance 29:1545-1548		zh_TW