選擇權指數型房貸與傳統指數型房貸之評價分析

The Valuation of Option Adjustable Rate Mortgages and Traditional Mortgages

吳雨潔(Yu-Chieh Wu)

指導教授 ： 林哲群

國立清華大學/科技管理學院/科技管理研究所/碩士(2007年)

摘要

指數型房貸已逐漸成為台灣借貸市場的主流，而國內的指數型房貸產品相較於國外的指數型房貸，構成因素相對單純且種類較少，因此本研究主要目的在於說明選擇權指數型房貸和傳統指數型房貸兩者之間基本特性之差異，並探討在相同比較基準下，藉由分析選擇權指數型房貸和傳統指數型房貸的現金流量，比較兩種產品之評價差異，其中傳統指數型房貸將以三種提前清償模型進行評估。更進一步分析各項契約變數與利率波動性對選擇權指數型房貸理論價值之敏感度，以期更深入價格設定及價格變化之間的差別，而能在各種情形之下得到更準確的評估，判斷選擇權指數型房貸價值之未來趨勢，或可供國內發展抵押貸款市場參考。
由模擬結果得知，選擇權指數型房貸價值高於傳統指數型房貸，且使用OTS提前清償模型之傳統指數型房貸的評價亦高於使用CPR與PSA模型之指數型房貸，而在正常還款速度下，PSA與CPR之評價結果差異甚少。利率波動性及負攤提限制與選擇權指數型房貸之價格成反向關係，其他因素皆與價格正向關係。新興金融商品雖然帶來相當大的投資利益，但其中隱含的風險是投資人需要密切注意的，否則可能會造成借貸雙方之損失。

關鍵詞：指數型房貸、選擇權指數型房貸、評價分析

關鍵字

指數型房貸 ； 選擇權指數型房貸 ； 評價分析

並列摘要

The adjustable-rate mortgages have gradually become the mainstream in the mortgage market in Taiwan. Comparing to the adjustable-rate mortgage products in foreign countries, such as the United States domestic ones seem to be simpler and less categories. This study elaborates the characters of option adjustable-rate mortgages (Option ARMs), and differentiates these from traditional adjustable-rate mortgages. Therefore, we can compare the value between these two products which use three kinds of prepayment models, and also using sensitivity analysis to develop more accurate evaluation.
The price of Option ARMs is higher than traditional adjustable-rate mortgages by the result of simulations. By the way, the price of traditional adjustable-rate mortgages which use OTS prepayment model is also higher than those which use CPR or PSA prepayment model. Further more, the price of traditional adjustable-rate mortgages which use PSA prepayment model is almost the same as CPR in the normal prepaying speed. The volatility of interest rate and the limitation in negative amortization both go the negative way with Option ARMs, others are go the positive way.

Key words: adjustable-rate mortgage, option ARM, pricing mortgage

參考文獻

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