房屋抵押貸款的評價，因為需考慮到貸款人的提前清償及違約風險造成現金流量之不確定性，決定房屋抵押貸款的價格比決定一般違約證券的價格更具困難度。因此，如何合理評估抵押貸款證券的價值實為一值得深入探討之課題，本文即針對此議題進行研究。傳統文獻在進行房屋抵押貸款的評價方法，主要可區分為兩種：結構模型(structural-form approach)及縮減式模型(reduced-form approach)。目前的文獻上，其評價的封閉解只存在於結構式模型，但在此模型下的評價，存在著違約與提前清償條件的設定問題，這將對評價的準確性造成很大的影響，在實務的應用上有一定的限制。再者，結構式模型在處理多變數且變數間具相關性的情況，存在一定的複雜性與困難度，而縮減式模型在此情況的處理上是較容易的。本研究將從縮減式模型的角度，引入 Jarrow (2001)的概念，在包含多重變數並考慮變數間相關係數之縮減模型下，進行房屋抵押貸款封閉解的推導。透過此方法可協助資產管理者從事投資組合配置最適化與避險策略的分析，亦期望能提供實務界一個更具可行性與效率性之房屋抵押貸款評價模型。 / Valuing mortgage-related securities is more complicated than valuing regular defaultable claims due to the borrower’s prepayment behavior as well as the possibility of default. In general, the methods that are applied to investigate mortgage value and termination risk can be divided into two categories: a structural-form approach and a reduced-form approach. Some researchers use a structural-form model to obtain the closed-form formulae for the mortgage value. With this method, however, it is difficult to identify the critical region of early exercise and deal with the situation including multivariable and their correlations correlation among variables. As an alternative, the reduced-form model developed in this study is able to value the mortgage without setting boundary conditions, and can thereby accurately handle the multi-dimensional space of correlated state variables. This study extends Jarrow’s (2001) model to examine mortgage valuations. The purpose of this article is to derive a closed-form solution of the mortgage valuation equation under a general reduced-form model that embeds relevant economic variables. This new approach enables portfolio managers to undertake sophisticated portfolio optimization and hedging analyses, and makes it possible to more accurately and efficiently value the complicated mortgage.

A gestão democrática, a autonomia e a participação popular nos processos decisórios são elementos que sintetizam as características das relações sociais que fundamentam um tipo de sociedade pautada em relações transparentes e solidárias. Nesse sentido, a escola pública é local privilegiado para o estabelecimento de relações sociais dessa natureza. A instituição de canais de participação e a oferta de condições institucionais, materiais e humanas para as escolas públicas são elementos indispensáveis para que isso se realize. A implementação de políticas públicas comprometidas com as classes trabalhadoras sugere que o Estado, por intermédio de suas instituições, se aproxime dos usuários dos bens e serviços públicos, provendo-lhes os meios necessários que garantam condições dignas para o exercício da cidadania. No caso das escolas públicas municipais de São Carlos, a regularidade na disponibilização de recursos financeiros para os gestores escolares foi uma forma de descentralização adotada pela Administração Municipal de São Carlos, no período 2001-2004 para garantir as condições materiais de funcionamento das escolas, com a participação popular. A análise dos dados demonstrou que essa política pública é um instrumento importante para atender as necessidades materiais e de serviços mais imediatos das escolas públicas. O desenvolvimento do trabalho mostrou que a prioridade dos gastos foi com a manutenção predial e aquisição de materiais pedagógicos, contudo as características históricosociais da cidade de São Carlos são elementos dificultadores para que as intenções democratizantes da gestão estudada, com a instituição de canais de participação popular e outros mecanismos de aproximação do Estado dos usuários dos bens e serviços públicos fossem apropriados. Como instrumento indutor da gestão democrática, a análise reafirmou o tecido social da cidade e mostrou que a organização interna, na maioria das escolas públicas, não tem favorecido a participação popular. Como proposta, o estudo sugeriu o aprimoramento dos critérios utilizados para a descentralização de recursos financeiros para as escolas municipais e o fomento às ações que possam contribuir para que haja a ruptura com práticas tutelantes. / The democratic management, the autonomy and popular participation in deciding procidures are elements which summarize the social relations characteristics that fund a kind of society based on transparent and solidary relations. On this sense, the public school is a privileged place to the establishment of social relations of this nature. The institution of participation channels and the offer of institutional, material and human conditions to public schools are indispensable elements to achieve that. The implementation of public policies which are commited to the worker classes suggest that the State, through its institutions, get closer to the users properties and public services, providing them with the necessary means that guarantee dignified conditions to the citizenship exercise. In the case of the São Carlos municipal schools, the regularity in the financing resources availability to the schools managers was a way for decentralization, adopted by São Carlos Municipal Administration, between 2001- 2004 to guaratee the schools operation material conditions, with the popular participation. The data analysis demonstrated that this puclic policy is an important instrument to answer to the public schools most immediate material and service necessities. The work development showed that the expenses priority was with building maintenance and pedagogycal material acquisition, however the São Carloss social-historical characteristics are obstacles to the democratizing intentions of the management studied, with the institution of popular participation channels and other mechanisms of the State approximation to the public services users are appropriated. As an inductor instrument of democratic management, the analysis reaffirmed the citys social texture and showed that the intern organization, in most of the schools, hasnt favoured the popular participation. As its proposal, the study suggested a refinement of the utilized criterions to the financing resources decentralization to the municipal schools, as well as fomentation actions that could contribute so that there is a rupture with tutelary practices.

A gestão democrática, a autonomia e a participação popular nos processos decisórios são elementos que sintetizam as características das relações sociais que fundamentam um tipo de sociedade pautada em relações transparentes e solidárias. Nesse sentido, a escola pública é local privilegiado para o estabelecimento de relações sociais dessa natureza. A instituição de canais de participação e a oferta de condições institucionais, materiais e humanas para as escolas públicas são elementos indispensáveis para que isso se realize. A implementação de políticas públicas comprometidas com as classes trabalhadoras sugere que o Estado, por intermédio de suas instituições, se aproxime dos usuários dos bens e serviços públicos, provendo-lhes os meios necessários que garantam condições dignas para o exercício da cidadania. No caso das escolas públicas municipais de São Carlos, a regularidade na disponibilização de recursos financeiros para os gestores escolares foi uma forma de descentralização adotada pela Administração Municipal de São Carlos, no período 2001-2004 para garantir as condições materiais de funcionamento das escolas, com a participação popular. A análise dos dados demonstrou que essa política pública é um instrumento importante para atender as necessidades materiais e de serviços mais imediatos das escolas públicas. O desenvolvimento do trabalho mostrou que a prioridade dos gastos foi com a manutenção predial e aquisição de materiais pedagógicos, contudo as características históricosociais da cidade de São Carlos são elementos dificultadores para que as intenções democratizantes da gestão estudada, com a instituição de canais de participação popular e outros mecanismos de aproximação do Estado dos usuários dos bens e serviços públicos fossem apropriados. Como instrumento indutor da gestão democrática, a análise reafirmou o tecido social da cidade e mostrou que a organização interna, na maioria das escolas públicas, não tem favorecido a participação popular. Como proposta, o estudo sugeriu o aprimoramento dos critérios utilizados para a descentralização de recursos financeiros para as escolas municipais e o fomento às ações que possam contribuir para que haja a ruptura com práticas tutelantes. / The democratic management, the autonomy and popular participation in deciding procidures are elements which summarize the social relations characteristics that fund a kind of society based on transparent and solidary relations. On this sense, the public school is a privileged place to the establishment of social relations of this nature. The institution of participation channels and the offer of institutional, material and human conditions to public schools are indispensable elements to achieve that. The implementation of public policies which are commited to the worker classes suggest that the State, through its institutions, get closer to the users properties and public services, providing them with the necessary means that guarantee dignified conditions to the citizenship exercise. In the case of the São Carlos municipal schools, the regularity in the financing resources availability to the schools managers was a way for decentralization, adopted by São Carlos Municipal Administration, between 2001- 2004 to guaratee the schools operation material conditions, with the popular participation. The data analysis demonstrated that this puclic policy is an important instrument to answer to the public schools most immediate material and service necessities. The work development showed that the expenses priority was with building maintenance and pedagogycal material acquisition, however the São Carloss social-historical characteristics are obstacles to the democratizing intentions of the management studied, with the institution of popular participation channels and other mechanisms of the State approximation to the public services users are appropriated. As an inductor instrument of democratic management, the analysis reaffirmed the citys social texture and showed that the intern organization, in most of the schools, hasnt favoured the popular participation. As its proposal, the study suggested a refinement of the utilized criterions to the financing resources decentralization to the municipal schools, as well as fomentation actions that could contribute so that there is a rupture with tutelary practices.

Electricity prepayment systems have been successfully implemented by South Africa’s national electricity utility (Eskom) and local municipalities for more than 17 years. The prepayment vending sub-system is a critical component of prepayment systems. It provides convenient locations for customers to purchase electricity. It predominantly operates in an “offline” mode, however, electricity utilities are now opting for systems that operate in an “online” mode. “Online” mode of operation or online vending is when a prepayment token is requested from a centralised server that is remote from the client at the actual point of sale (POS). The token is only generated by the server and transferred to the POS client, once the transaction, the POS client and the payment mechanism has been authenticated and authorised. The connection between the POS client and the server is a standard computer network channel (like Internet, direct dial-up link, X.25, GPRS, etc) The lack of online vending system standardisation was a concern and significant risk for utilities, as they faced the problem of being locked into proprietary online vending systems. Thus the South African prepayment industry, lead by Eskom, initiated a project to develop an industry specification for online vending systems. The first critical project task was a current state analysis of the South African prepayment industry, technology and specifications. The prepayment industry is built around the Standard Transfer Specification (STS). STS has become the de-facto industry standard to securely transfer electricity credit from a Point of Sale (POS) to the prepaid meter. STS is supported by several “offline” vending system specifications. The current state analysis was followed by the requirements analysis phase. The requirements analysis confirmed the need for a standard interface protocol specification rather than a full systems specification. The interface specification focuses on the protocol between a vending client and vending server and does not specify the client and server application layer functionality and performance requirements. This approach encourages innovation and competitiveness amongst client and server suppliers while ensuring interoperability between these systems. The online vending protocol design was implemented using the web services framework and therefore appropriately named, XMLVend. The protocol development phase was an iterative process with two major releases, XMLVend 1.22 and XMLVend 2.1. XMLVend 2.1 is the current version of the protocol. XMLVend 2.1 addressed the shortcomings identified in XMLVend 1.22, updated the existing use cases and added several new use cases. It was also modelled as a unified modelling language (UML) interface or contract for prepayment vending services. Therefore, clients using the XMLVend interface are able to request services from any service provider (server) that implements the XMLVend interface. The UML modelled interface and use case message pairs were mapped to Web Service Definition Language (WSDL) and schema (XSD) definitions respectively. XMLVend 2.1 is a secure and open web service based protocol that facilitates prepayment vending functionality between a single logical vending server and ‘n’ number of clients. It has become a key enabler for utilities to implement standardised, secure, interoperable and flexible online vending systems. AFRIKAANS : Voorafbetaalde elektrisiteitstelsels is suksesvol deur Suid-Afrika se nasionale elektrisiteitsverskaffer (Eskom) en plaaslike munisipaliteite geïmplementeer vir meer as 17 jaar. Die Voorafbetaal verkoop-subsisteem is 'n esensiële komponent van voorafbetaal elektrisiteitstelsels. Dit laat gebruikers toe om elektrisiteit te koop by ‘n verskeidenheid van verkooppunte. In die verlede het hierdie stelsels meestal bestaan as alleenstaande verkooppunte maar elektrisiteitsverskaffers is besig om hulle stelsels te verander om in n aanlyn modus te werk. Aanlyn verkoop is wanneer 'n voorafbetaalkoepon versoek word vanaf ‘n sentrale bediener wat vêr verwydered is van die kliënt se verkooppunt. Die koepon word slegs gegenereer deur die bediener en gestuur aan die kliënt nadat die transaksie, die kliënt self, en die betaling meganisme, gemagtig is. Die koppeling tussen verkooppuntkliënt en die bediener is ‘n standaard kommunikasie kanaal, (byvoorbeeld; Internettoegang, direkte inbel skakel, X.25 en “GPRS”) Die gebrek aan 'n standaard vir aanlynverkoopstelsels was 'n bekommernis en beduidende risiko vir elektrisiteitsverskaffers, aangesien hulle ‘n probleem ondervind dat hulle ingeperk sal word tot ‘n eksklusiewe ontwerp vir so ‘n aanlynverkoopstelsel. Dus het die Suid Afrikaanse voorafbetaal industrie, gelei deur Eskom, 'n projek begin om 'n industriespesifikasie te ontwikkel vir aanlyn verkoopstelsels. Die eerste kritiese projek taak was 'n analise van die huidige stand van die Suid-Afrikaanse vooruitbetaling industrie, die tegnologie en spesifikasies. Die voorafbetaal sektor is gebou rondom die Standaard Oordrag Spesifikasie, bekend as “Standard Transfer Specification” (STS). STS word algemeen aanvaar as die industrie standaard vir die oordrag van elektrisiteit krediet vanaf 'n Verkooppunt na die voorafbetaalmeter. STS word ondersteun deur verskeie alleenstaande verkoopstelsel spesifikasies. Die analise vir die huidige status was opgevolg deur ‘n studie van die vereistes vir so ‘n stelsel. Die vereistes analise het die behoefte bevestig vir 'n standaard koppelvlak protokol spesifikasie, eerder as 'n nuwe spesifikasie vir ‘n volledige oorafbetaalstelsel. Dit bepaal alleenlik die protokol koppelvlak tussen 'n voorafbetaalkliënt en die bediener. Dit spesifiseer nie die program vlak funksionaliteit of prestasie vereistes, vir die kliënt en bediener nie. Hierdie benadering bevorder innovasie en mededingendheid onder kliënt- en bediener-verskaffers, terwyl dit nog steeds verseker dat die stelsels wedersyds aanpasbaar bly. Die aanlyn verkoopprotokol ontwerp is geïmplementeer met die webdienste raamwerk en staan bekend as XMLVend. Die protokol vir die ontwikkeling fase was 'n iteratiewe proses met die twee groot weergawes, XMLVend 1.22 en XMLVend 2.1. Die huidige weergawe van die protokol - XMLVend 2.1, adresseer die tekortkominge wat geïdentifiseer is met XMLVend 1.22, terwyl dit ook die bestaande gebruiksgevalle opdatteer en verskeie nuwe gebruiksgevalle byvoeg. Dit was ook geskoei as 'n verenigde modelleringtaal (UML) koppelvlak, of 'n kontrak, vir die voorafbetaal verkoopsdienste. Kliënte is daarom in staat om, met behulp van die XMLVend koppelvlak, dienste te versoek van enige diensverskaffer wat die XMLVend koppelvlak ondersteun. Die UML gemodelleerde koppelvlak- en gebruiksgevalle- boodskappare was gemodeleer in die Web Dienste Definisie Taal (WSDL) en skema (XSD) definisies onderskeidelik. XMLVend 2.1 is 'n sekure en oop webdienste-gebaseerde protokol wat dit moontlik maak om voorafbetaalfunksies te fasilliteer tussen 'n enkele logiese verkoopbediener en 'x' aantal kliënte. Dit het 'n sleutelrol aangeneem vir verskaffers om ‘n gestandaardiseerde, veilige, wedersyds-aanpasbare en buigsame aanlyn verkoopstelsels moontlik te maak. Copyright / Dissertation (MSc)--University of Pretoria, 2010. / Electrical, Electronic and Computer Engineering / unrestricted

The objective of the thesis is to acquaint readers with field of structured product valuation. It is a relatively complex issue which is, however, based on general valuation foundations. The opening chapter is dedicated to these general fundamentals of valuation. Emphasis is placed mainly on present value principle, a specific variant of comparison, and its related aspects. The second section describes key elements of structured product valuation. Greater part of this chapter is devoted to the Monte Carlo simulation, the most employed tool in valuation of these products in practice. An important part of Monte Carlo simulation is an option spread, which arises as by-product of the simulation and reflects value of an option contained in the evaluated instrument. Third chapter is focused on interest rate and prepayment models. Level of prepayment is dependent on interest rates development which both are the most critical factors that affect value of structured products. Description of models includes theoretical and mathematical formulation as well as mentioning their advantages and disadvantages. Valuation model is illustrated in the last part, which is demonstrated on valuation of hypothetical structured products example. Based on the model, the development of cash flows from underlying asset portfolio is forecasted which in turn determines the value of evaluated instruments. The final section deals with advantages of structured products and, hence, why banks and other institutions use them in practice.

本論文將針對不同證券化標的型態和考量房貸戶提前清償差異之情況下，來推導MBS的評價公式。其中可發現任何證券化標的型態的MBS評價過程都能從可調整利率住宅抵押貸款的角度來進行，因此建構出的一般化評價模型便可作為其他新奇房貸設計的參考依據。並且透過蒙地卡羅法來模擬可調整利率住宅抵押貸款的理論價值，同時採用反向變異法來達到加速模擬過程的目的，以便於更趨近於真正的理論價值。而且也針對建構模型中的各項參數、誘因函數參數以及其他影響MBS理論價值的因素進行敏感度分析。

本研究同時探討房貸違約與提前清償終止行為，並對提前清償動機『出售』與『轉貸』予兼容並蓄。蒐集自H銀行房貸資料，運用多項式邏吉斯廻歸模型分析法，以總體經濟因子之有無分兩階段，對應變數-房貸終止行為(Y1)及提前清償動機(Y2)，採取雙層次深入實證。 實證結果：從機率模型配適度與解釋力之實證分析中，獲得一致結論，對於含有總體經濟因子-經濟成長率與CPI 年增率之模型，其所計算Cox & Snell及Nagelkerke之假 值分別為0.534及0.611，均大於0.5以上，其相對性與獨立性上，均具備較高的模型解釋力，為一較優之房貸違約與提前清償終止行為模型，其相關顯著影響因子如下： 一、對違約具有顯著影響之因子，包括：借款年限、初貸利率、LTV、保證人、次級房貸、部分提前清償、購屋投資、 PTI、DBR＞22、軍警公教人員、設二胎、區域台北市、區域新北市及CPI年增率等14項。 二、對提前清償具有顯著影響之因子，包括：初貸利率、次級房貸、部分提前清償、購屋投資、購屋自住、年資、設二胎、CPI年增率及經濟成長率等9項。 三、對提前清償動機-『出售』之顯著因子：次級房貸、部分提前清償、購屋投資、設二胎等4項。 四、對提前清償動機-『轉貸』之顯著因子：初貸利率、次級房貸、購屋自住、年資、設二胎、CPI年增率及經濟成長率等7項。。 本實證結果所建構含有總體經濟因子之房貸終止行為機率模型，以其顯著影響因子再深入探討提前清償-『出售』與『轉貸』之動機，使提前清償行為模式更精確性地呈現，有助於提供金融機構，在計算違約機率與提前清償機率之模型架構上及授信審核評估上，具貢獻價值之參考資訊。 / This research explores the default and prepayment on the termination behaviors of residential mortgages, as well as the motives of prepayment in house selling or refinancing. Mortgage data are collected from the H bank in Taiwan, using the multi-nominal logistic regression analytic method to explore the factors affecting the default and prepayment behaviors. Empirical results show that loan period, initial mortgage rate, loan-to-value ratio (LTV), the existence of the guarantor, subprime mortgages, curtailment, investment purpose, payment-to-income (PTI), debt burden ratio exceeded 22 (DBR＞22), government employees or teachers, second lien, location in Taipei city, the new Taipei city and CPI annual rate of increase are the significant factors of default behavior. As for the variables on prepayment, the initial mortgage rate, subprime mortgages, curtailment, investment purpose, residential use, DBR＞22, the age of professional career, second lien, CPI annual rate of increase and economical growth rate are significant. For more detailed curtailment behavior, the empirical results show that house sale subprime mortgages, curtailment, residential investment purpose, second lien are significant factors. As for the variables in inter-bank refinancing initial interest rate, subprime mortgages, residential investment purpose, the age of professional career, second lien, CPI annual rate of increase and economical growth rate are significant factors. Results of this research may provide financial institutions precious references on the mortgage default and prepayment behaviors. The mortgage industry can take into account of the significant results on the capital planning in the future.

In the financial industry , typical indirect-financial institution attracts deposit, inter-bank loan, or issuing negotiable certificate of time deposit and bonds.¡@After collecting money from excess capital units through auditing procedure then loan to the needed parties as a financial intermediary in the market. The roles of financial institutions such as banks are acting as a financial intermediary by providing buy-sell funding to enterprises or individuals. Those banks actually take whole funding liquidity risk to exchange main resource of bank¡¦s profitability. Once failure in managing risk or facing dynamically financial environment changing, bank may engage in difficulty and cause serious financial crisis. Comparison with large international financial institutions, our financial institutions hold a lot of NPL (Non-Performing Loan; Taiwan major NPL almost came from mortgage), it not only lower the liquidity of fund, longer payment duration but also raise operation risk can¡¦t recover financial assets. The quality of asset has also been worse off rapidly. These phenomena raise financial institution operation risk and influence stability of financial system and development of financial environment. With the financial environment is changing, those developed countries mostly adopted structured finance or financial asset securitization methods. The purpose of financial asset securitization in general is to raise fund for originator. Originator is the most important participant on the securitization process. The originators pool and reorganize those assets, which could create cash flow into small-amount unit security and sell to the investors. By this way originator don¡¦t have to wait till maturity and buyback those securities. That is why by using financial asset securitization will help financial institution to improve asset/liability management, spread asset risk and increase the ratio of equity to assets. At the same time, this will improve the effect and efficiency of finance institution¡¦s operating and open up the funding market. Mortgage securitization can raise banks¡¦ capital adequacy and current ratio. By way of asset securitization, the originators enjoy higher asset liquidity, lower funding cost, and improved capital ratio; while investors can use mortgage-backed securities to diversity their portfolios, improve liquidity and enhance yields. For originators, securitization is not only lower the cost of capital, increase the net profit but also enhances the liquidity of cash and balances the assets¡¦ structure. Assets-backed securitization has been prevailed in USA for years. It effectively controls the NPL (Non-performing Loans) problem and stabilizes financial management. Through financial asset securitization optimal asset allocation model, this thesis has the following finding: 1. Financial market funding supply shows multiple effects after Banking Financial asset securitization. In the initial stage of securitization, banks will lower risky assets and then will increase to original size. 2. After Financial asset securitization, a capital adequate ratio will rise first then become normal level. 3. Under assumption that financial asset securitization does not create any capital gain or loss; bank will lower profitability at initial stage. Then after a while, profitability will increase dramatically later. 4. After consideration of risk, this research discovers that securitization wills steeper Capital Allocation Line. It means every risk taking will compensate higher return. Improve Banking efficiency and profitability. Securitization provides a groundbreaking tool to increase profitability and avoid risk. Under MBS structure, the commissions and fees, absolutely out of risk, is major and stable income of the bank. On the other hand, the successful development of USA RTC implement is another contribution to resolve NPL. In sum, financial asset securitization not only accelerates the efficiency of financial institutions for more balance capital markets but also avoids financial risk in the banking system. At present, the prime theme of he banking sector should be how to maintain sound operations by strengthening credit risk management and restructure assets quality. Introducing successful external professional partner system is another way to deal with NPL problems.

房屋貸款借款人對於其所負貸款債務的處分有兩種潛在風險行為，分別是提前清償及違約。這兩種借款人風險行為不管是對金融機構的資產管理，或是對近年在財務金融領域的不動產證券化而言，都是相當重要的探討議題，原因在於提前清償及違約帶來了利息收益與現金流量的不確定性，進而影響不動產抵押債權的價值。也就是為貸款承作機構、證券化保證機構及證券投資人帶來風險。 借款人決定提前清償及違約與否，除了與借款人自身特性及貸款條件有關外，尚受到隨時間經過而不斷變動的變數所影響，亦即許多影響因子並非維持在貸款起始點的狀態，而是會在貸款存續期間動態調整。進一步影響借款人行為，而這類變數即為時間相依變數(time –dependent variables，或time-varying variables)。因此，本研究利用便於處理時間相依變數的比例危險模型(Proportional Hazard Model)來分析借款人提前清償及違約風險行為，觀察借款人特徵、房屋型態、貸款條件及總體經濟等變數與借款人風險行為的關係。 實證結果顯示，借款人特徵部分的教育程度對提前清償及違約風險影響最為明顯，教育程度越高，越會提前清償，越低則較會違約。房屋型態則透天厝較非透天厝容易提前清償及違約。貸款條件中的貸款金額及貸款成數皆與違約為正相關，亦即利息負擔越重，借款人違約風險升高。總體經濟方面，借款人對利率變動最為敏感，反映利率代表借款人的資金成本，是驅動借款人提前清償及違約的財務動機與誘因。