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考虑罚金下之不动产贷款对金融机构的损益分析

【中文摘要】:本研究主要採用有限差分内隐法来衡量嵌入违约及提前清偿选择权的固定利率贷款价值,并且加以考虑恆定比率(Permanent)、固定利率(Fixed)、罚款递减(Step-down)以及收益维持(Yield maintenance,或称之为报酬率维持)此四种不同提前清偿罚则对于固定利率贷款价值的影响。藉由数值模拟帮助银行了解不同提前清偿罚则在不同的房价波动度以及贷款比率(Loan-to-value)下,对于银行所持有的固定利率贷款价值有何影响,使得银行能够在考量总体经济以及金融环境下,拟定适合的贷款契约条款,进而加以减少因为贷款者提前清偿以及违约所导致的再投资风险以及违约呆帐风险,藉此稳定银行的获利以及营运。
本研究模拟结果显示,提前清偿罚则的设立对于固定利率贷款价值具有显着且正向的影响,特别是提前清偿罚金佔整个契约期间越长且贷款价值比率大者,越是能提高固定利率贷款的价值。除此之外,在利率高时,虽然金融机构可以藉由提前清偿罚则的约定提高贷款价值,但是在利率低时,却会因为提前清偿罚则的订立而使得违约边界条件提高,进而使得违约以及拖欠付款的机率上升。
另外,在不同贷款比率(Loan-to-value ratio)下,上述提前清偿罚金与契约时间及贷款价值比率的关係仍然存在,但是若进一步探讨不同提前清偿罚则下的选择权价值,我们将会发现在相同罚则下,随着贷款比率的提高,选择权价值增加的幅度呈现递减,此结果表示虽然较高的贷款比率会使贷款人有较高的联合选择权价值,进而使得违约或提前清偿的机会增加,但是对于银行所持有的固定利率贷款价值却不会线性等比例的减少。
为了让借款者签订提前清偿罚则的契约,金融机构降低借款利率虽然会使得贷款的总价值降低,但是其他条件相同时,金融机构却能因此获得吸引更多贷款者、获取更高的利润。
【英文摘要】:We use the implicit difference method to measure the influence of four types of penalties on the value of a fixed-rate mortgage (FRM) that has a default and prepayment option and different types of penalties. Bankers realize the influence of prepayment penalties on a mortgage’s value for different house value volatilities and loan-to-value ratios (LTV ratios) through a simulation procedure. Financial institutions can consider the macroeconomic and financial conditions and then design a suitable mortgage contract to avoid borrowers’ prepayment and default behavior. Furthermore, financial institutions can stabilize their profit and operations.
Our simulation results reveal that when the percentage of the prepayment penalty of the whole contract is higher, the influence of this penalty on the mortgage’s value is larger. Financial institutes can use different types of penalties to increase their mortgage loan, but penalties also raise the boundary of default when they are at a low interest rate.
Additionally, the relationship between prepayment penalty and the contract also exists at different LTV ratios. We further addressed the option’s value and found that it did not have a linear relationship with the LTV ratios.
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  • 来源:中山大学;作者:张意聆
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