住宅增值參與證券定價模型

The Pricing Model of Home Appreciation Participation Notes(HAPNs)

王亭之(Ting-Chih Wang)

指導教授 ： 林哲群

國立清華大學/科技管理學院/計量財務金融系/碩士(2013年)

https://doi.org/10.6843/NTHU.2013.00139

摘要

美國因次級房貸而引發金融風暴，這使得全球陷入嚴峻的經濟狀況。然而，綜觀影響金融風暴的首要原因就是購買者並沒有足夠的房貸負擔力時，又必須承擔未來房貸利率提升和房價下跌的風險。所以在房價泡沫化時，購買者無法承擔上述兩風險而違約。這種造成民眾超額購屋的原因出自於銀行提供多種貸款專案，使得民眾購屋力提高，但只要風險一提高，民眾違約的機率相對也增加。另外，由於房屋購買分為投資用與消費用，在英國蘇格蘭地區曾推行分享增值抵押貸款(Shared-Appreciation Mortgages, SAMs)的產品使得購屋者的負擔減少，但因為此產品容易產生道德風險，所以因應這次的金融危機事件，重新推出能夠減輕購屋者負擔與降低購屋風險的新產品─住宅增值參與證券(Home Appreciation Participation Notes, HAPNs)。目前學界雖然已經發表HAPNs的基本架構與運作方式，但還沒有在市場上發行。一般來說，一個產品能夠在市場上順暢運行是需要次級市場能提供足夠的流動性(liquidity)與可行性(feasibility)，而促成這些要素的源頭便是「產品的市場買賣價格」。文章中在定價模型的設定會以不確定到期時間的架構下，並配合不同個人負擔力與不同增值分攤比率，進而估計HAPNs的價格。最後，可以推算出在各種情況下，HAPNs投資者願意支付價格，促進交易市場的形成。

關鍵字

分享增值抵押貸款 ； 住宅增值參與證券 ； 不確定到期時間 ； 負擔力 ； 增值分攤比率

並列摘要

The financial crisis which has been arisen from subprime mortgage causes the global economy into an ordeal. The main reason is that buyers do not have enough affordability, but they have to suffer the risk of increasing market rate and decreasing house price. Therefore, during the house market bubble, buyers cannot afford the above two risks and then default. In the past, there is a method to solve those problems. That is the Shared-Appreciation Mortgages(SAMs) which is placed in Scotland and SAMs can let buyers face lower rate, so they afford less. It would, however, generate moral hazard. Thus, a new method is created to settle these problems, and it is Home Appreciation Participation Notes(HAPNs). Although there has already been basic framework of HAPNs, it still do not be issued publicly. The objective of this paper is to price HAPNs, thus, the study use Gamma model in uncertain holding period and coordinate with dispersion among persons and different levels of appreciation share. As the price system is established, HAPNs can be easily implemented under the current market environments.

參考文獻

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