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引文資料
題名:
考量房價跳躍風險下房屋抵押貸款保險之評價
書刊名:
風險管理學報
作者:
王昭文
作者(外文):
Wang, Chou-wen
出版日期:
2010
卷期:
12:1
頁次:
頁53-68
主題關鍵詞:
Lévy過程
;
常態調和穩態過程
;
跳躍風險
;
房屋抵押貸款保險
;
Lévy processes
;
Normal tempered stable processes
;
Jump risk
;
Mortgage insurance contracts
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
2
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:0
點閱:21
近年來金融風暴與次貸危機事件,均導致房屋價格劇烈變動,若假設房屋價格為幾何布朗運動將低估房價跳躍風險。因此,本研究在假設對數房屋價格服從常態調和穩態過程(Normal Tempered Stable Processes)下,推導出房屋抵押貸款保險合理保費。運用1986年1月至2008年6月之美國全國新屋價格每月報酬率,本研究發現常態調和穩態過程具有極佳的配適能力。此外,透過數值分析可知,其他條件不變下,假設房屋價格為幾何布朗運動將低估房屋抵押貸款保險合理保費。此外,不論運用常態調和穩態過程之特例VG模型(α = 0)或是NIG模型(α = 1/2),房屋抵押貸款保險之合理保費價值差異不高,故運用NTS模型之模型風險(Model Risk)較低。
以文找文
Recently, the real estate crises such as subprime mortgage crisis lead to the dramatic jumps in housing price processes. The geometric Brownian motion (BGM), therefore, may neglect the jump behavior inherent in the housing price processes. Assuming the housing price processes follow Normal Tempered Stable (NTS)processes, this study derives the pricing formula for mortgage insurance premiums, capturing important characteristics of abnormal shock events. Using the U.S. monthly national average new home returns from 1986 to 2008, we find that, compared with the BGM, the NTS process has a better good-of-fit. Finally, the BGM will underestimate the fair premiums of mortgage insurance when the housing price processes follow NTS processes. In addition, for different special cases of NTS processes such as VG or NIG models, their fair premiums are virtually the same, which means that the model risk based on NTS processes is trivial.
以文找文
期刊論文
1.
Barndorff-Nielsen, O. E.(1997)。Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling。Scandinavian Journal of Statistics,24(1),1-14。
2.
Barndorff-Nielsen, O.E.、M. Shephard(2001)。Normal Modified Stable Processes。Theory of Probability and Mathematical Statistics,65,1-19。
3.
Chen M.,、C.C.、Chang, S.、Lin S.、S.D. Shyu(2009)。Estimation of Housing Pricing Jump Risks and their Impact on the Valuation of Mortgage Insurance Contracts。Journal of Risk and Insurance, forthcoming。
4.
Daal, E.、D. Madan(2005)。An Empirical Examination of the Variance-Gamma Model for Foreign Currency Options。Journal of Business,78,2121-2152。
5.
Huang, J.Z.,、L. Wu(2004)。Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes。Journal of Finance,59,1405-1440。
6.
Monroe, I(1978)。Processes that Can be Embedded in Brownian Motion。The Annals of Probability,6(1),42-56。
7.
Schoutens, W.、J.L. Teugels(1998)。Levy Processes, Polynomials and Martingales。Communications in Statistics-Stochastic Models,14(1/2),335-349。
8.
Dennis, B.、Kuo, C.、Yang, T.(1997)。Rationales of Mortgage Insurance Premium Structures。Journal of Real Estate Research,14(3),359-378。
9.
Kau, J. B.、Keenan, D. C.、Muller, Walter J. III、Epperson, J. F.(1995)。The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment。The Journal of Real Estate Finance and Economics,11(1),5-39。
10.
Bardhan, A.、Karapandža, R.、Urošević, B.(2006)。Valuing Mortgage Insurance Contracts in Emerging Market Economies。Journal of Real Estate Finance and Economics,32(1),9-20。
11.
Madan, D. B.、Carr, P. P.、Chang, E. C.(1998)。The variance gamma process and option pricing。European Finance Review,2(1),79-105。
12.
Kau, J. B.、Keenan, D. C.(1996)。An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance。Journal of Risk and Insurance,63,639-656。
13.
Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。
14.
Kau, James B.、Keenan, Donald C.(1995)。An Overview of the Option-Theoretic Pricing of Mortgages。Journal of Housing Research,6(2),217-244。
15.
Kau, J. B.、Keenan, D. C.(1999)。Catastrophic Default and Credit Risk for Lending Institutions。Journal of Finance Services Research,15(2),87-102。
16.
Kau, James B.、Keenan, Donald C.、Muller, Walter J. III(1993)。An Option-Based Pricing Model of Private Mortgage Insurance。The Journal of Risk and Insurance,60(2),288-299。
17.
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。
18.
Heath, D.、Jarrow, R.、Morton, A. J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60,77-105。
19.
Geman, H.,、D. Madan、M. Yor,(2001)。Time Changes for Lévy Processes。Mathematical Finance,11,79-96。
20.
Madan, D. B.、Seneta, E.(1990)。The VG Model for Share Market Returns。Journal of Business,63,511-524。
21.
Hendershott, P.、Van Order, R.(1987)。Pricing Mortgages: Interpretation of the Models and Results。Journal of Financial Services Research,1(1),19-55。
22.
Canner, G. B.、Passmore, W.(1994)。Private Mortgage Insurance。Federal Reserve Bulletin,9,883-899。
23.
Carr, p.、Madan, D.(1999)。Option Valuation Using the Fast Fourier Transform。Journal of Computational Finance,2(4),61-73。
24.
Kou, S. G.(2002)。A Jump Diffusion Model for Option Pricing。Management Science,48,1086-1101。
25.
Carr, P.、Geman, H.、Madan, D.、Yor, M.(2002)。The Fine Structure of Asset Returns: an Empirical Investigation。Journal of Business,75,305-332。
圖書
1.
Cont, R., and P. Tankov,(2004)。Financial Modelling with Jump Processes。Boca Raton, Fla:Chapman & Hall/CRC Press。
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