不動產抵押貸款證券化之評價與探討-應用低差異性數列法

Abstract

由於金融機構的逾放問題，也為了因應金融市場的國際化，台灣實有推行不動產抵押貸款證券化之必要性。然而在學術研究上，目前關於不動產抵押貸款證券評價的文獻仍是少數，加上近年來數值方法的進步，因此本研究運用低差異性數列（low discrepancy sequence）法，對固定利率與調整利率兩類的轉付證券作評價，研究貢獻在於應用能兼具彈性與效率的數值方法來作進一步的評價。透過評價流程與敏感度分析後，結論如下： （1）低差異性數列法的效率確實較原始蒙地卡羅模擬法高 （2）無論是固定利率或是浮動利率之MBS價值，皆與貸款契約利率成正 向關係，且浮動利率之敏感度小於固定利率。 （3）貸款年限對於MBS價值影響不明顯。 （4）利率加碼幅 度明顯與MBS價格呈正相關，而每年調整上下限、貸款 期間調整上下限則與MBS價值並無特別的趨勢。 （5）利率波動度愈大時， MBS價格也愈高，大致呈現正向關係，但波動 度過小時，反而對MBS價格影響不大。固定利率對利率波動度大時敏 感度高，調整利率則較不顯著。 （6）MBS價值和均數復歸速度大小呈現正相關，而且固定利率對於均數復 歸速度的敏感度大於浮動利率。

Taiwan’s financial market has faced the problem of high non-performing loan ratio for financial institutions. Moreover, the more open economy resulting from Taiwan’s ascending the internationalization of financial markets is forcing Taiwan to develop the mortgage -backed securities (MBS). Up to the present, only limited researches have ever investigated the pricing of mortgage-backed securities. While the literature has devoted less attention to the numerical methods, the objective of this research is to apply the low discrepancy sequence method to price both the fixed and adjusted interest rate mortgage pass-throughs (MPTs). In this study, an alternative method with flexibility and accuracy was proposed. The pricing procedures and the sensitivity analysis were completed. The results suggested that: （1）Low discrepancy sequences method is more efficient than the crude Monte Carlo simulation method. （2）Both the value of fixed and adjusted interest rate of MBS are positive correlated with contract interest rate. The latter is relatively less sensitive. （3）The correlation between the value of MBS and the years of loan was not significant. （4）Margin of interest rate is positive correlated with the value of MBS, but the effect of annual cap and lifetime cap are insignificant. （5）As the volatility of interest rate becomes larger, the value of MBS increases. While the volatility of interest rate becomes smaller, the value of MBS decreases. As the volatility of interest rate increases, the value of fixed rate MBS are much more sensitive than that of adjusted rate. （6）The value of MBS is positive correlated with the intensity of mean reversion, and the value of fixed rate MBS is more sensitive than that of the volatility of interest rate.