規避群組信用風險與提前償還風險之證券化設計

有鑑於風險管理的角色愈形重要，此研究企圖藉由重新設計巨災債券，讓以往只有針對巨災風險的巨災債券，也可針對其他風險進行避險，在此以房屋貸款的違約風險與提前清償風險為例；由於性質上的差異，也納入房貸債券（MBS）的設計進行調整。此外為了簡化設計，將此商品設計成零息債券的架構，以避免每期需考慮附息問題；由於違約損失與提前清償損失並不像巨災損失，有一個明顯的損失金額，因此一大重點在於損失認定的部分，必須讓發行者在發行這樣商品後確實享有一個較固定的現金流量，這樣商品才具有意義；本研究利用房屋貸款債權每期現金流量的期末價值，來得到損失認定的方式。另外，並介紹面額要如何認定，這要同時考慮多項因素；以及簡單說明評價的方式。接下來，說明可將商品進行時間的切割與金額的切割，以更貼近投資人的需求；最後是結論與建議的部分。

關鍵字

證券化；巨災債券；提前償還風險；信用風險

並列摘要

Since risk management has become more and more important, this research tries to redesign catastrophe bond in order to make it be able to be used to hedge other risk .In this research, we focus on default risk and prepayment risk – the two most important risks of mortgage loan. Because of essential difference, this research refers to mortgage backed security for adjustment. As a result, this study provides a new product which is between catastrophe bond and mortgage backed security for financial institutions to deal with risks. Besides, for simplicity, this new financial product is designed to be a zero coupon bond. Because it is necessary for issuer to enjoy a more fixed cash flow in order to make this new product useful and meaningful, this research puts much emphasis on loss distribution. What’s more, this research explains the method of deciding face value in terms of its roles and impacts.

並列關鍵字

catastrophe bond ； prepayment risk ； securitization ； credit risk

參考文獻

24.莊益源，路徑相關的兩因子利率模型，中正大學，民89。

1.Andrew Kalotay, Deane Yang，“ An Option-Theoretic Prepayment Model for Mortgages and Mortgage-Backed Securities”

6.John Hull and Alan White, ”Numerical Procedures for Implementing Term Structure Models Ⅰ：Single-Factor Models” , Journal of Derivatives, Fall, 1994.

7.John Hull and Alan White, ”Numerical Procedures for Implementing Term Structure Models Ⅱ：Two-Factor Models” , Journal of Derivatives, Winter, 1994.

8.John Hull and Alan White , ”USING HULL-WHITE INTEREST-RATE TREES” , University of Toronto， Journal of Derivatives, Winter, 1996.

國際替代計量

規避群組信用風險與提前償還風險之證券化設計

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