- 學位論文
台灣金融資產證券化市場之研究－ 應用蒙地卡羅模擬法
The Study on the Securitization of Financial Assets Markets in Taiwan－ Application Monte Carlo Simulation
摘要
金融資產證券化在國內屬於剛起步階段，有關金融資產證券化的研究，多偏向國外制度面的介紹，對於證券化募集制度面的探討，其中包括商品設計（貸款債權）的合約內容分析、信評報告、投資人的報酬與風險之評量等方面的論述較少，而這內容又關係著國內金融資本市場的健全發展。 本研究主要目的是希望透過比較分析法，分析金融資產證券化市場制度及債權合約內容的標準化，提供投資人更認識金融資產證券化商品，進而探討在金融資產證券化市場，大量受益證券相對應的投資組合價值，模擬未來可能路徑，以符合市場需求。 研究方法係採是以JP Morgan’s CreditMetrics（信用計量法）為基礎，應用蒙地卡羅模擬法分析金融資產證券化投資風險評量。以蒙地卡羅模型模擬出千萬種風險因子的假設狀況及相對應的投資組合價值，而這些投資組合報酬率就可形成次數分配，當模擬達到一定數量（例如一萬次）即可找出其變數的分配，以符合市場需求。其研究結果如下： 1.當投資組合只含單一受益證券時，經由信用評等移動、評價及信用風險值的求算，評量其信用風險，發現一年後的受益證券價值波動，其標準差愈小，風險值相對較小。 2.當投資組合含有兩張受益證券時，導因於信用品質變化之受益證券價值波動，可以用其不同的組合，計算出一年後的可能之投資價值；經比較下，twBBB及twA的投資組合，相較於twBBB及twAA、twAA及twA的投資組合，其一年後債券之剩餘價值最高，風險值相對較小。 3.當投資組合包含三張受益證券時，即公司（1）發行的twBBB、公司（2）發行的twAA、公司（3）發行的twA；同時投資三家公司所發行的受益證券，比較三張受益證券的資產報酬率門檻值，發現投資公司（2）所發行的受益證券，其累積報酬率大於其他兩家公司。 4.列出10種模擬情境下的資產報酬率，將這些數字與上述3所列出的資產報酬率門檻值相比較，以決定這些模擬所得的資產報酬率之新的信用評等、評價及投資組合價值分配，根據分配圖，即可使用百分位水準法計算投資組合的信用風險值。
並列摘要
The securitization of financial assets in Taiwan has just been established since 2001. The relevant academic studies only focused on the system of the securitization of the financial assets in well-established countries. However, there are few literature concerning the issuing system of securitization, including the analysis of contract content of the product design, the evaluation reports of credit risk, the measurement of risk, and the return of the investors which will impact the development of domestic financial markets in Taiwan, these factors motivate the author to investigate the securitization of financial assets in Taiwan. Through the comparative analysis method, this study attempts to analyze the market system and the standardization of the contract content in order to promote the securitization of financial assets for investors to enlarge capital markets in Taiwan. Additionally, this work explores the portfolio value of the bonds under the securitization of financial assets by simulating the alternative paths to meet the market’s demand. Based on JP Morgan’s Credit Metrics, this investigation uses the Monte Carlo Simulation method to measure the risk of the securitization of financial assets. The risk factors are simulated by ten thousand times in order to obtain the optimum value of the portfolio and find the distribution of the parameters for the markets. The conclusion of this study is summarized as follows. 1. If the portfolio only comprises a single beneficiary security for investors, through the evaluation of credit risk, valuation and calculation the value of the portfolio after one year. The results indicate that the smaller the standard deviation of the beneficiary securities’s value is, the smaller the risk of beneficiary securities is. 2. If the portfolio composes of two beneficiary securities for investors, which accounts for the fluctuation of the beneficiary securities’s value after one year is upon the comparison of the three portfolios of the beneficiary securities, the results show that twBBB and twA beneficiary securities have the highest value and the lowest risk. 3. If the portfolio consists of three beneficiary securities for investors, after the comparison of the rates of return on asset of the beneficiary securities issued by the three companies, the findings demonstrate that the accaccumulated rate of return of the twAA beneficiary securities issued by company No.2 is greater than that of the other two beneficiary securities. 4. To creat a simulation situation by ten classes of return of asset of the simulative situation, this work compares the simulation result with that is obtained in conclusion 3, this syudy obtains a new evaluation level of credit risk, a new valuation of beneficiary securities and a new distribution of the value of the portfolio. According to the distribution chart, the investors can calculate the value of the portfolio based on the percentile methods.