反向房屋抵押貸款之證券化- 四元樹模型之應用

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反向房屋抵押貸款之證券化- 四元樹模型之應用

Securitization of the crossover risk in the reverse mortgage

苗芫綺 , Masters　　Advisor：黃泓智　　

繁體中文

反向房屋抵押貸款；臨界風險；最高可貸成數；證券化； reverse mortgages ； crossover risk ； maximum level of insurance ； securitization

Abstract │ Reference (26) │ Times Cited (4) │ Altmetrics

Abstract 〈TOP〉

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When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices and mortality rates. Under the consideration of housing price risk, interest rate risk and longevity risk, we provide a three-dimensional lattice method which simultaneously captures the evolution of housing price and short-term interest rate to numerically calculate the fair valuation of reverse mortgages. For a mortgage reverse insurer, the maximum level of reverse mortgage insurance is determined by setting the present value of total expected claim losses equal to the present value of the premium charges. However, when the actual loss is higher than the expected loss, the insurer will incur an unexpected loss. To offset the potential loss, we also design a crossover bond, the payoff structure of which is related to the actual losses and expected losses, to transfer the unexpected loss into the bond investors. Therefore, through the crossover bonds, the reverse mortgage insurers can transfer the crossover risk into the bondholders.

Reference ( 26 ) 〈TOP〉

張簡勵如(2002)，金融資產證券化
連結：
何思湘(2002)，金融資產證券化概說與法制初探（上）
連結：
陳建智(2003)，金融資產證券化財務報導之探討
連結：
黃淑華(2004)，我國金融資產證券化之發展及其監理
連結：
Black, F., Derman, E., Toy, W., 1990. A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46, 1, 33-39.
連結：

Times Cited (4) 〈TOP〉

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