地區別差異對不動產抵押貸款債權證券化評價之影響

The Effects of Regional Difference on the Valuation of Mortgage Backed Securities

林傑毓(Chieh-Yu Lin) ； 王清鴻(Tsing-Hon Wang)

《致遠管理論叢》 3卷1期 (2008/09) Pp. 1-17

https://doi.org/10.6596/DJM.2008.3(1).1

摘要

在不動產抵押貸款債權證券化的評價過程中，提前清償率是影響評價的重要因素之一。不同地區的借款人會因消費習性的不同，進而產生不同的提前清償結果，即不動產證券化的標的群組中，會因為其群組中的房貸來源比例不同而有不同的評價結果，本研究主要探討地區別差異對不動產抵押貸款債權證券化評價的影響。本研究根據單因子CIR利率模型，考量都市地區提前清償較快與非都市地區提前清償較快兩種不同情況，配合PSA提前清償模型，採用蒙地卡羅模擬方法，進行模擬評價。研究結果發現不論都市地區或非都市地區所佔貸款群組的比例多寡，提前清償率速度越高的地區，不動產抵押貸款證券化商品價格越高。

關鍵字

不動產抵押貸款債權證券化 ； 蒙地卡羅模擬法 ； 地區別差異 ； 提前清償率

並列摘要

In the valuation of mortgage backed securities, the prepayment is one of the important factors affecting the price of mortgage backed securities. Borrowers in different regions will have different prepayment behaviors due to their different consuming habits. Therefore, the valuation results of mortgage backed securities will be significantly influenced by the mortgaged portfolios of the MBS, which are grouped by loans in different regions. The main purpose of this article is to study the effect of regional differences on the valuation of mortgage backed securities. The valuation of mortgage backed securities in this study is based on the one factor CIR model and the PSA prepayment model. The Monte Carlo simulation method is used to solve the interest rate model. Both situations concerning a faster prepayment in the urban region as well in the non-urban region are considered. Based on the simulation results, we can find that no matter what the percent of urban region or non-urban region in the mortgage backed securities group is, the faster the prepayment is, the higher the price of mortgage backed securities will be.

並列關鍵字

Mortgage backed securities ； Monte Carlo simulation ； Regional difference ； Prepayment