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引文資料
題名:
建構金融機構關係下之不動產抵押貸款價值模型
書刊名:
中山管理評論
作者:
徐守德
/
陳勤明
/
洪志興
作者(外文):
Hsyu, David So-de
/
Chen, Chin-ming
/
Hung, Chih-hsing
出版日期:
2013
卷期:
21:4
頁次:
頁769-798
主題關鍵詞:
不動產抵押貸款
;
銀行關係
;
違約風險
;
提前清償風險
;
借款收益率
;
Mortgage
;
Financial institution relationship
;
Default risk
;
Prepayment risk
;
Loan yield
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
1
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
1
共同引用:
47
點閱:84
針對不動產抵押貸款風險而言,此貸款會有違約與提前清償的風險,因此,貸款收益率會反映貸款的風險。除此之外,不動產價值與借款人和金融機構關係也會影響貸款的條件,並且再進一步影響不動產抵押貸款價值。在不動產抵押貸款的相關實證研究文獻中,都發現借款人與金融機構關係會影響不動產抵押貸款價值與借款成本;當金融機構在承作不動產抵押貸款時,貸款人與金融機構之間的互動關係是會影響借貸條件,由於過去許多建構不動產抵押貸款模型研究,他們並未將貸款人與金融機構關係納入模型中來考慮,所以本研究主要是把借款人與金融機構關係建構在不動抵押貸款模型。本研究利用隨機過程模型來結合借款人與金融機構之互動關係,並且以數值分析法來模擬借款人與金融機構之關係,對不動產抵押貸款借款收益率的影響。根據數值分析發現,當借款人與金融機構關係越好,則金融機構會給予借款人較低的借貸成本;若借款人與金融機構關係較普通,則在承作不動產抵押貸款時,其借款人的借貸成本可能比較高。本研究所建立的模型數值結果與金融機構關係實證研究的相關文獻一致,所以可以提供金融機構,使用本研究模型來研究不動產抵押貸款的價值與貸款收益率分析。
以文找文
We study the potential model instability problem with respect to mortgage default risk and prepayment risk, therefore the loan yield will reflect the risk. In addition, the real estate value and the financial institution relationship will also affect the loan condition, and will further influence mortgage value. Past research model do not make the financial institution relationship in the mortgage model, therefore this research is construction the financial institution relationship in the mortgage model. We find that about the mortgage empirical study literature, discovered that the financial institution relationship can affect the mortgage value and the loan yield. When financial institution makes the mortgage, the financial institution relationship will affect the lending condition, as a result of the past many construction mortgage model study, they do not integrated the financial institution relationship with the mortgage model. Our study use stochastic process model and integrated with the financial institution relationship. We use numerical methods to simulate the mortgage value with financial institution relationship. According to numerical analysis, when the financial institution relationship are better, then the financial organ possibly produces lowly mortgage cost; If the financial institution relationship are not well, when receives makes the mortgage, it loan cost to be possibly higher. The result of our study is consistent with the other empirical study's literature, therefore we can use this model to research the mortgage and the loan yield analysis.
以文找文
期刊論文
1.
林哲群(2003)。評估抵押債權事務性服務權利的價值--Option-Adjusted Spread 的方法。住宅學報,12(1),31-42。
延伸查詢
2.
Blackwell, D. W.、Winters, D. B.(1997)。Banking Relationship and the Effect of Monitoring on Loan Pricing。Journal of Financial Research,20(2),275-289。
3.
Chen, T.、Connolly, M.、Tang, W.、Su, T.(2009)。The Value of Mortgage Prepayment and Default Options。The Journal of Futures Markets,29(9),840-861。
4.
Cox, J. C.、Ingersoll, J. E. Jr.、Ross, S. A.(1985)。An inter-temporal general equilibrium model of asset prices。Econometrica,53(8),363-384。
5.
Daglish, T.(2009)。What motivates a subprime borrower to default?。Journal of Banking & Finance,33(4),681-693。
6.
Downing, C. T.、Stanton, R. H.、Wallace, N. E.(2005)。An empirical test of a two factor mortgage valuation model: How much do house prices matter?。Real Estate Economics,33(4),681-710。
7.
Fiordelisi, F.、Marques-Ibanez, D.、Molyneux, P.(2011)。Efficiency and risk in European banking。Journal of Banking and Finance,35(5),1315-1326。
8.
Giliberto, S. M.、Thibodeau, T. G.(1989)。Modeling Conventional Residential Mortgage Refinances。The Journal of Real Estate Finance and Economics,2(4),285-299。
9.
Hall, A. R.(1985)。Valuing the Mortgage Borrower‘s Prepayment Option。Journal of the American Real Estate and Urban Economics,13(3),229-247。
10.
Kau, J. B.、Keenan, D. C.(1995)。An overview of the optional-theoretic pricing of mortgages。Journal of Housing Research,6(2),217-244。
11.
Kau, J. B.、Keenan, D. C.、Muller, W. J. III、Epperson, J. F.(1993)。Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages。Journal of Business,66(4),595-618。
12.
LaCour-Little, M.(2009)。The Pricing of Mortgages by Brokers: An Agency Problem?。Journal of Real Estate Research,31(2),235-263。
13.
Longstaff, F. A.(1989)。A Nonlinear General Equilubrium Model of the Term Structure of Interest Rates。Journal of Financial Economics,23(1),195-224。
14.
Newton, D. P.、Azevedo-Pereira, J.、Paxson, D.(2002)。UK fixed rate repaymentmortgage and mortgage indemnity valuation。Real Estate Economics,30(1),185-211。
15.
Quingley, John M.(1987)。Interest Rate Variations, Mortgage Prepayments and Household Mobility。The Review of Economics and Statistics,69(4),636-643。
16.
Sakai, K.、Uesugi, I.、Watanabe, T.(2010)。Firm age and the evolution of borrowing costs: Evidence from Japanese small firms。Journal of Banking & Finance,34(8),1970-1981。
17.
Sarkar, S.、Zapatero, F.(2003)。The trade-off theory with mean reverting earnings。The Economic Journal,113(490),834-860。
18.
Sharp, N. J.、Johnson, P. V.、Newton, D. P.、Duck, P. W.(2009)。A New Prepayment Model (with Default): An Occupation-time Derivative Approach。Journal of Real Estate Finance and Economics,39(2),118-145。
19.
Sharp, N. J.、Newton, D. P.、Duck, P. W.(2008)。An improved fixed-rate mortgage valuation methodology with interacting prepayment and default options。Journal of Real Estate Finance and Economics,36(3),307-342。
20.
Smith, S.(2002)。Predatory Lending, Mortgage Fraud, and Client Pressures。The Appraisal Journal,70(2),200-213。
21.
Titman, S.、Torous, W.(1989)。Valuing commercial mortgages: An empirical investigation of the contingent claims approach to risky debt。Journal of Finance,44(2),345-373。
22.
陳家彬、賴怡洵(20030900)。銀行往來關係和授信行為之研究。經濟論文,31(3),497-539。
延伸查詢
23.
劉展宏、張金鶚(20010200)。購屋貸款提前清償行為之研究。住宅學報,10(1),29-49。
延伸查詢
24.
Wolverton, Marvin Lloyd、Gallimore, Paul(1999)。Client Feedback and the Role of the Appraiser。Journal of Real Estate Research,18(3),415-431。
25.
Kinnard, William N.、Lenk, Margarita M.、Worzala, Elaine M.(1997)。Client Pressure in the Commercial Appraisal Industry: How Prevalent Is It?。Journal of Property Valuation and Investment,15(3),233-244。
26.
Green, Jerry、Shoven, John B.(1986)。The Effects of Interest Rates on Mortgage Prepayments。The Journal of Money, Credit, and Banking,18(1),41-59。
27.
Gardner, Mona J.、Mills, Dixie L.(1989)。Evaluating the Likelihood of Default on Delinquent Loans。Financial Management,18(4),55-63。
28.
Brennan, M. J.、Schwartz, E. S.(1979)。A Continuous Time Approach to the Pricing of Bonds。Journal of Banking and Finance,3(2),133-155。
29.
Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。
30.
Berger, Allen N.、Udell, Gregory F.(1995)。Relationship Lending and Lines of Credit in Small Firm Finance。Journal of Business,68(3),351-381。
31.
Bhattacharya, Sudipto、Thakor, Anjan V.(1993)。Contemporary Banking Theory。Journal of Financial Intermediation,3(1),2-50。
32.
Diamond, Douglas W.(1991)。Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt。Journal of Political Economy,99(4),689-721。
33.
Diamond, D. W.(1989)。Reputation Acquisition in Debt Markets。Journal of Political Economy,97(4),828-862。
34.
Kau, J. B.、Keenan, D. C.、Muller, Walter J. III、Epperson, J. F.(1992)。A Generalized Valuation Model for Fixed-Rate Residential Mortgages。Journal of Money, Credit and Banking,24(3),279-299。
35.
Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。
36.
張金鶚、陳明吉、鄧筱蓉、楊智元(20091200)。臺北市房價泡沫知多少?--房價vs.租金、房價vs.所得。住宅學報,18(2),1-22。
延伸查詢
37.
Navratil, F. J.(1985)。The Estimation of Mortgage Prepayment Rates。The Journal of Financial Research,8(2),107-117。
38.
Kau, J. B.、Keenan, D. C.、Muller, III, W. J.、Epperson, J. F.(1990)。Pricing Commercial Mortgages and Their Mortgage-Backed Securities。Journal of Real Estate Finance and Economics,3(4),333-356。
研究報告
1.
Kariya, T.、Pliska, S. R.、Ushiyama, F.(2002)。A 3-factor valuation model for mortgagebacked securities (MBS)。Kyoto Institute of Economic Research。
學位論文
1.
Fischer, K.(1990)。Hausbankbeziehungen als Instrument der Bindung Zwischen Banken und Unternehmen: Eine theoretische und empirische Analyse(博士論文)。University of Bonn。
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