臺灣博碩士論文加值系統

不動產抵押貸款是銀行主要的業務來源，隨著ECFA的生效，銀行有了向外發展的契機，不動產抵押貸款的承做量也會增加。隨著景氣復甦，房價不斷的飆升，但利率卻仍處於低點，根據這兩種情況，本文想探討：1、在「短期」下，假設房價無限大時，利率與時間變化對抵押貸款價值的影響？ 2、在「短期」下，假設利率有短暫的僵固性時，房價與時間變化對抵押貸款價值的影響，以及這兩種情況所可能得到的風險溢酬為何？

故本文利用Crank-Nicholson的有限差分法 (Crank & Nicholson, 1947)，配合利用隨機過程推導出的偏微分方程來模擬出結果。結果發現，利率提高、房價提高、貸款年限增加都會對銀行帶來風險，所以銀行亦會對此要求較高的風險溢酬。

The Bank business of main sources is real estate mortgage, with the effect of ECFA, the bank will have opportunities developed outward, real estate mortgage will increase. With the economic recovery, house prices continue to soar, but still at a low interest rate, according to both cases, this article would like to explore: First, in the "short term", we assuming house price is infinite, the interest rates on mortgages with time the impact of mortgage value? Second, in the "short term", we assumed short-term interest rate rigidity, the house price and time impact on the value of mortgage, and the risk premium in both cases.

Therefore, this paper use Crank-Nicholson finite difference method (Crank & Nicholson, 1947), and stochastic processes to simulate the results. The results showed that higher interest rates, house prices increase, the loan period increase would risks for banks, so banks will have higher risk premium.

目錄
中文摘要 ............................................................................................................ I
Abstract ............................................................................................................. II
誌謝 ................................................................................................................. III
第一章 緒論 .................................................................................................. 1
第一節 研究動機 .................................................................................... 1
第二節 研究目的 .................................................................................... 2
第三節 研究架構 .................................................................................... 4
第二章 文獻回顧 ........................................................................................... 5
第一節 抵押貸款 .................................................................................... 5
第二節 違約與提前清償風險................................................................. 7
第三節 有限差分 .................................................................................. 14
第三章 研究方法 ......................................................................................... 19
第一節 評價架構 ..................................................................................... 19
第二節 抵押貸款的組成 ......................................................................... 22
第四章 數值模擬結果與分析 ..................................................................... 25
第一節 利率與時間 ................................................................................. 25
第二節 房價與時間 ................................................................................. 29
第五章 結論與建議 ..................................................................................... 33
第一節 結論 ............................................................................................. 33
第二節 建議 ............................................................................................. 35
參考文獻 ......................................................................................................... 36
附錄 ................................................................................................................. 39
表目錄
表1 消費者貸款統計 ....................................................................................... 2
表2 抵押貸款數值模擬文獻 ........................................................................... 7
表3 抵押貸款實證研究文獻 ......................................................................... 10
表4 抵押貸款模擬變數表 ............................................................................. 24
表 5 隨著時間經過與不同利率下之風險溢酬金額 ..................................... 26
表 6 隨著時間經過與不同利率下之風險溢酬金額差 ................................. 26
表 7 隨著時間經過與不同利率下之風險溢酬金額差(續) ........................... 27
表 8 隨著時間經過與不同利率下之風險溢酬率 ......................................... 28
表 9 不同貸款期間之風險溢酬率 ................................................................ 28
表 10 隨著時間經過與不同房價下之風險溢酬金額 ................................... 30
表 11 隨著時間經過與不同房價下之風險溢酬金額差 ................................ 30
表 12 隨著時間經過與不同房價下之風險溢酬金額差(續) ......................... 30
表 13 隨著時間經過與不同房價下之風險溢酬率 ....................................... 32
表 14 不同貸款期間之風險溢酬率............................................................... 32
圖目錄
圖1 研究流程圖 ............................................................................................... 4
圖2 外顯法 .................................................................................................... 14
圖3 內隱法 .................................................................................................... 16
圖4 Crank-Nicolson法 ................................................................................... 17

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