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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 3-九月-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 32:1:9Aylward, Janes F, 1984, “Anatomy of the Residential Mortgage”, Real Estate Today, 23-25Berkovec, James A., Glenn B. 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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 (作者) 李展豪 zh_TW dc.creator (作者) 李展豪 zh_TW dc.date (日期) 2010 en_US dc.date.accessioned 3-九月-2013 14:53:19 (UTC+8) - dc.date.available 3-九月-2013 14:53:19 (UTC+8) - dc.date.issued (上傳時間) 3-九月-2013 14:53:19 (UTC+8) - dc.identifier (其他 識別碼) G0982570161 en_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) 98257016 zh_TW dc.description (描述) 99 zh_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/#G0982570161 en_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 Insurance en_US dc.subject (關鍵詞) Binary Logistic Regression Model en_US dc.subject (關鍵詞) Survival Analysis en_US dc.subject (關鍵詞) Loan to Value Ratio en_US dc.subject (關鍵詞) Default Risk en_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 rate en_US dc.type (資料類型) thesis en 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 32:1:9Aylward, Janes F, 1984, “Anatomy of the Residential Mortgage”, Real Estate Today, 23-25Berkovec, James A., Glenn B. 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