住宅抵押貸款保險(Mortgage Insurance)為管理違約風險的重要工具，在2008年次級房貸風暴後更加受到金融機構的關注。為了能更準確且更有效率的預測房價及合理評價住宅抵押貸款保險，本文延續Christoffersen, Heston and Jacobs (2006)對股票報酬率的研究，提出新的GARCH模型，利用Inverse Gaussian分配取代常態分配來捕捉房價序列中存在的自我相關以及典型現象(stylized facts)，並且同時考慮房價市場中所隱含的價格跳躍現象。本文將新模型命名為IG-GARJI模型，以便和傳統GARCH模型作區分。由於傳統的GARCH模型在計算保險價格時，通常不存在封閉解，必須藉由模擬的方法來計算價格，會增加預測的誤差，本文提供IG-GARJI模型半封閉解以增進預測效率與準確度，並利用Bühlmann et al. (1996)提出的Esscher transform方法找出其風險中立機率測度，而後運用Heston and Nandi (2000)提出之遞迴方法，找出適合的住宅抵押貸款保險評價模型。實證結果顯示，在新建房屋市場中，使用Inverse Gaussian分配會比常態分配的表現要好；對於非新建房屋，不同模型間沒有顯著的差異。另外，本文亦引用Bardhan, Karapandža, and Urošević (2006)的觀點，利用不同評價模型來比較若房屋所有權無法及時轉換時，對住宅抵押貸款保險價格帶來的影響，為住宅抵押貸款保險提供更準確的評價方法。 / Mortgage insurance products represent an attractive alternative for managing default risk. After the subprime crisis in 2008, more and more financial institutions have paid highly attention on the credit risk and default risk in mortgage market. For the purpose of giving a more accurate and more efficient model in forecasting the house price and evaluate mortgage insurance contracts properly, we follow Christoffersen, Heston and Jacobs (2006) approach to propose a new GARCH model with Inverse Gaussian innovation instead of normal distribution which is capable of capturing the auto-correlated characteristic as well as the stylized facts revealed in house price series. In addition, we consider the jump risk within the model, which is widely discussed in the house market. In order to separate our new model from traditional GARCH model, we named our model IG-GARJI model. Generally, traditional GARCH model do not exist an analytical solution, it may increase the prediction error with respect to the simulation procedure for evaluating mortgage insurance. We propose a semi-analytical solution of our model to enhance the efficiency and accuracy. Furthermore, our approach is implemented the Esscher transform introduced by Bühlmann et al. (1996) to identify a martingale measure. Then use the recursive procedure proposed by Heston and Nandi (2000) to evaluate the mortgage insurance contract. The empirical results indicate that the model with Inverse Gaussian distribution gives better performance than the model with normal distribution in newly-built house market and we could not find any significant difference between each model in previously occupied house market. Moreover, we follow Bardhan, Karapandža, and Urošević (2006) approach to investigate the impact on the mortgage insurance premium due to the legal efficiency. Our model gives another alternative to value the mortgage contracts.

University of Macau / Faculty of Education

近年來由於國民所得的提升、外匯增加，消費貸款相關法令鬆綁及政府政策刺激消費下，臺灣信用卡市場在外商銀行、新銀行的強力業務主導下，從1991年到2005年歷經了蓬勃發展、同業之間的激烈競爭、現金卡的發行加入競爭行列、整合型小額信用貸款的竄出，讓金融業以市場行銷為業務主導下，逐漸放鬆銀行的授信政策。在市場競爭及飽和下，消費者過度地消費和整體經濟持續低迷，終於引爆了嚴重的信用卡、現金卡逾期無法繳款的雙卡卡債問題。本研究欲從信用卡的成長、輔助現金卡的加入競爭行列，由各代表性的銀行發展中，探討出發生嚴重逾期放款的原因，再使用各銀行提供給金融監督管理委員會的重大資訊逐一分析，作為佐證之依據。 研究結果如下: 1. 銀行業為了業務成長，並未正確及適時地看待相關風險的控管，不斷的簡化辦卡程序、提高信用額度、增加信貸總額，以期增加信貸客戶數及客戶忠誠度。 2. 銀行業在擴張業務的同時沒有充分考慮到客戶的真實收入與負債比例，進而在發生嚴重的信貸危機時，違約比率不斷增加，銀行業亦承受了相當大打銷呆帳的金額。 3. 政府主導的統一債務協商機制，各銀行已逐漸從混亂中，走上標準作業，協商成功比率陸續提升中。未來卡片市場可否走向更健全：金融業、全民、主管機關都應更謹慎地處理消費者信用貸款的問題。 / Credit card market, driven by foreign banks and local new banks, had been boosting from 1991 to 2005 derived from GDP growth, hike of foreign exchange reserves, laws ease up, and government policies creating friendlier environment to boost consumer spending. In the same time, banks’ credit policies were loosened due to fierce competition among credit card issuers, issuances of cash card and integrated unsecured loan led by sales and marketing. Given the situation of over-banking and competition in credit card market, consumers overspent under the consistent economy recession triggered credit crunch for credit card and cash card, so called “Credit card and cash card lending crash”. This research intends to search for the root of this credit crunch by investigating the history of the growth of credit card business and issuance of cash card of major players in the market. Furthermore, this research also evidences the concluded root reasons by analyzing the important information reported to FSC by all the banks. The conclusions of the investigation are as follows: 1. Banking industry overemphasized on business growth so the related risks were not properly and timely controlled by simplifying application procedures and increasing credit lines hoping to enhance number of customers and strengthen customers’ loyalty. 2. Banking industry ignored the percentage of customers’ real income and liability while expanding their business rapidly. It further deepened the delinquency ratio and card issuers wrote off enormous amount of bad debts when credit crunch happened. 3. Debt Negotiation Plan (DNP) led by government enabled banks to set up “Standard Operation Procedures” (SOP) which helped banks to resume their card business back to normal. The success ratio of DNP is increasing gradually. The future of credit card market all depends on how banking industry, consumers, and government deal with the issues on consumer unsecured loans.

借款公司與銀行間彼此往來關係以及議價能力是否是決定聯合貸款契約中依績效調整利率條款內容的重要因素? 本研究嘗試利用1993至2010美國聯貸案之資料來檢視此一關係是否確實存在。 實證結果發現，當借款公司與銀行已有往來關係且公司之籌資選擇較少時，會比較傾向簽訂利率向上調整之績效條款。此外，由於單一主辦行於聯貸案中無法向借款公司剝削所有利益，因此對於已和借款公司有往來關係的主辦行來說，其較不傾向簽訂利率向上之調整績效條款。最後，本研究發現，對於主辦行排名較後面的銀行來說，其更傾向簽訂利率向下之調整績效條款來吸引客戶(借款公司)。 / It is shown in this thesis that long-term banking relationships and bargaining power are important determinants of performance-pricing covenants (PPC) inclusions in syndicated loan contracts. Using a large sample of syndicated loans data (1993-2010), I find that syndicated loans tend to include more interest-increasing PPC when a long-term banking relationship exists and when borrowers have fewer financing alternatives. The presence of banking relationship with lead arrangers reduces the odds of using interest-increasing PPC, because lead arrangers might not be able to capture all rents from holding-up borrowers. Finally, I find lenders with lower league table ranking are likely to use more interest-decreasing PPC to attract borrowers, which again is consistent with the hold-up hypothesis.

2007年美國爆發次級房貸違約潮造成了其經濟、房市和股市的不景氣，也波及到持有美國房貸證券化商品的各國，使其承受重大的損失，因此房屋抵押貸款違約的影響因素和金融資產證券化機制對貸款違約風險的影響又再度成為不動產與金融市場上之重要議題。而以往針對美國次貸危機的研究多指出道德風險是造成此次危機的原因之一，但是較缺乏實證研究的支持。 有鑑於此，本研究以我國的台北市和新北市的房屋抵押貸款市場作為研究對象，探討逆選擇和道德風險這兩個資訊不對稱的問題對貸款違約率的影響。研究結果顯示「貸款成數高、貸款利率高、搭配信貸和設定二胎的貸款比較容易違約」，證實逆選擇和道德風險問題確實存在於房屋抵押貸款市場，而且會增加貸款違約的機率。為了降低違約機率，從降低資訊不對稱的角度來看，本研究建議：一、建立全國房貸資料庫；二、將信貸的金額納入房貸的貸款成數中考慮，以降低款人的道德風險。 再者，本研究認為造成次貸危機的根本原因是不當政策導致的保證機制浮濫，以及高風險的房貸證券化商品的氾濫。為了避免我國發生類似次貸危機的事件，從減少資訊不對稱的角度切入，本研究建議我國的金融資產證券化機制應該：一、將道德風險內部化，消除創始機構自利的動機以減少道德風險；二、使用外部信用增強的方式，以確實發揮分散證券風險的作用。 / The 2007 subprime mortgage crisis has severely struck the stability of the worldwide financial markets. Some researches indicate that moral hazard problems are the main factors causing the crisis. However, few studies support asymmetry problems existing in a mortgage market by empirical evidences. First, using the mortgage samples from Taipei City and New Taipei City this study would like to understand if the mortgage market are information asymmetry problems, adverse selection and moral hazard, and conduct the empirical analysis for these factors’ impact on mortgage default. The results show that mortgage default is influenced significantly by the Loan-to-Value （LTV） ratio, contract interest rates, the existence of second liens and credit loans, and jobs. It shows that adverse selection and moral hazard actually exist in the mortgage market. According to the empirical results, secondly, this study proposes suggestions for mortgage lending and financial asset securitization to reduce adverse selection and moral hazard problems and enhance the regulation environment and market’s stability. It is expected that the results of this study will be applied to avoid the occurrence of similar crisis in Taiwan.

在傳統銀行放款的觀念中認為，借款人主導了還款的來源，關於貸款風險的研究大多集中在借款人行為因素的探討，但是房屋貸款的風險，除了借款人本身的特質外，應該還需要不同角度的探討，尤其是在擔保品方面。銀行在辦理放款時，對擔保品價值的評估僅以當時的市場價值作直接的判斷，並依判斷結果來決定貸款的成數，這樣的決策並未考慮擔保品本身所處的區域條件及其未來的發展性，因而產生了風險判斷的偏誤。 本研究將透過不動產的供需價量的關係，嘗試找出影響房屋貸款擔保品風險的因子，並對房屋貸款的風險因子給予適當的權重及評分，再運用劃分等級的模型，將研究區域依房屋貸款風險的大小劃分風險等級。最後利用不同的角度或方法檢驗各種模型對區域風險分類之異同及功能，以建立模型提供銀行於承做房屋貸款或制定放款政策時，作為決定貸款成數(LTV)的參考依據，避免銀行貸款日後遭受擔保品價格下跌所產生的風險。 本研究以分析層級程序法(AHP)及分析網路程序法(ANP)設計不同的問卷，在取得各風險因子的權重後，對各項風險因子時間序列的數據進行分析，最終取得台北縣市各區域的風險等級。實證結果AHP及ANP皆通過一致性分析，AHP與未權重化ANP間不具顯著差異；權重化ANP與極限化ANP間不具顯著差異。AHP權重與ANP未權重化矩陣兩種模型在區域房屋貸款風險等級的區分標準上較為寬鬆。ANP權重化矩陣及ANP極限化矩陣對區域房屋貸款風險等級的劃分較為嚴格。這兩類不同等級劃分標準的模型提供金融業者在制定房屋貸款政策時可以有多樣的選擇。 / People with traditional concept of bank lending believe that borrowers dominate the sources of repayment. Researches regarding to the credit risk of loan mainly focus on the behaviors of borrowers. Nevertheless, the risk of mortgage loan should be deliberated with different points of view, especially the collateral, besides considering the characteristics of borrowers. During the process of loan, banks evaluate the collateral with directly determine according to the prevailing market value and decide the proportion of loan. The decision is not considered with the regional factors and the future development of the collateral. A bias of risk determination therefore exists during the process. The research tries to find the factors that influence the collateral risk of mortgage loan through supply, demand, price and quantity of real estate. Also, it allocates the weight and evaluation of every risk factor of mortgage loan. The research then distinguishes the investigated areas into different risk levels according to the mortgage loan risk by applying appropriate model. The research stands at various points of view and utilizes different methods to determine whether the classification of area risk is appropriate or not and offering a banks model to be the reference basis of determining the loan to value(LTV) when executing mortgage loan or drawing up loan policy. Banks can avoid the risk of collateral depreciation in the future. The research designed various questionnaires with Analytic Hierarchy Process (AHP) and Analytic Network Process (ANP). After obtained the weights of different risk factors, an analysis was processed on time sequence data of every risk factor and results the risk level of every subarea of Taipei. The empirical results in consistency analysis by AHP and ANP are passed. The difference between AHP and un-weighted ANP is not significant. The difference between weighted ANP and limited ANP is also not significant. Both weighted AHP and un-weighted ANP matrix models are lenient on the classify criteria of area mortgage risk levels. In opposition, weighted ANP matrix models and ANP limited matrix are strict on the same criteria. The two models with different criteria offer financial corporations different choices when drawing up policies of mortgage loan

本研究以公司當年度新增借款觀察會計師查核報告對債權投資人在決定貸款條件之影響。結果發現修正式無保留意見與借款利率具顯著正向關聯，與借款金額具顯著負向關聯，代表債權投資人視修正式無保留意見為一種負面資訊之傳遞。本研究進一步將修正式無保留意見分成重大不確定性、繼續經營假設有疑慮、重編及會計原則變動類型，發現不同的修正式無保留意見類型亦與借款條件有所關聯，其中以繼續經營假設有疑慮意見影響最大。本研究的結論為會計師查核報告對債權投資人於決定貸款合約時有所影響，債權人會依據會計師查核意見及查核報告內容決定其貸款決策。

本論文之研究目的係驗證銀行管理當局是透過盈餘平穩化，增加盈餘對於未來盈餘的訊息，抑或是操控會計數字從而降低盈餘品質。本文採用兩種指標衡量盈餘平穩化：裁決性的貸款損失準備與公允價值第二等級與第三等級輸入值。以美國銀行作為本論文的樣本標的，經由實證結果發現，盈餘平穩化程度較高的銀行其股價能反映更多未來盈餘的資訊，顯示著平穩化程度會增加銀行當期盈餘對於未來盈餘的預測能力。除此之外，本文依照銀行規模與業務特性，分別比較大小銀行;商業銀行與儲蓄機構，個別探討盈餘平穩化和盈餘資訊性間的關聯。 / This paper investigates whether bank income smoothing is due to communication of future earnings or opportunism to garble accounting numbers. I adopt two measures of bank income smoothing, i.e., discretionary loan loss provision and Level 2&3 fair value inputs. Using a sample of U.S. banks, I find that higher-smoothing banks’ current stock prices capture more information about their future earnings to a larger extent than those of lower-smoothing banks. Moreover, I separate the bigger banks from the small banks and differentiate commercial banks from saving institutions to particularly investigate the association between income smoothing and earnings informativeness.

【第一篇論文中文摘要】 集中度風險於結構式商品的量化與分析：以房屋抵押貸款證券為例 "Martin and Wilde (2002)與Gordy (2003)" 針對巴塞爾協定(Basel Accords)中金融機構之投資組合所內藴之集中度風險提出了相對應的微粒化調整(Granularity Adjustment)風險量化準則，然而該模型僅止於單因子架構下探究單一信用標的集中度風險之量化。本文將其架構延用至結構式商品中，允許債權群組內之信用標的具不同區域別，我們採用Hull and White(2010)之跨池違約相關性描述，並結合Pykhtin (2004)中延拓單因子聯繫模型至多因子之方式，進而求取債權群組之單一資產集中度(Name Concentration)與區域類別集中度(Sector Concentration)風險的量化。本文以房屋抵押貸款證券(Mortgage Backed Securities, MBSs)為例，於集中度風險的考量下，藉由檢視不同風險情境下分券之損失起賠點，重新評估房屋抵押貸款證券AAA投資級分券信用評級之合理性。研究結果顯示，AAA評等之分券高度曝險於系統性風險，且於高風險情境下，標的房貸之區域集中現象擴大了違約相關性對債權群組損失分配的影響，致使AAA分券之損失起賠點得以超過其實際擔保額度(subordination)範圍。 【第二篇論文中文摘要】 美國銀行放款多角化對其報酬與風險之影響：相關性與傳染的觀點 本文目的在於分析銀行放款的多角化行為對其報酬與風險之影響。研究發現納入銀行放款投資組合相關性之考量，亦即標的資產之相關性結構以及資產間因契約關係所隱含跨投資組合之傳染途徑，將降低多角化之成效。文中透過因子模型(factor model)建構資產之報酬，同時決定其相關性結構，其中將資產間殘差項相關性作為傳染指標，進一步分析投資組合內標的資產間的平均相關係數、傳染與多角化程度間的關聯性。我們以美國銀行作為研究樣本，分別以赫芬達-赫希曼指數估算投資組合權重分配之集中度、使用組合內標的產業股票報酬資訊來計算投資組合內相關程度，接著利用標的產業與投資組合外產業間的殘差相關性來捕捉產業傳染效果，將此三項指標作為衡量多角化指標，分析其在1987年至2014年間聯貸投資組合多角化情形並試圖分析放款多角化對銀行績效之影響。透過契約關係的界定進而探討顧客傳染如何影響銀行績效。 研究發現於市場處於平穩期間(tranquil period)，所有多角化指標銀行放款均呈現放款多角化程度越高越有助於提高銀行的報酬並降低其風險。然而於危機期間(turmoil period)，銀行應將放款權重集中於部分產業、建構相關性較低之組合或選擇較低之傳染效果之產業作為放款的對象，用以提高銀行績效。隱含在危機期間銀行應該選擇適度之多角化策略，若僅以赫芬達-赫希曼指數作為多角化之衡量將顯示危機期間越集中越有助於銀行的表現，此舉將造成解釋上的偏誤。說明於投資組合多角化的衡量上，不該忽略由相關性結構所引發之集中度風險。 / 【Essay I】 Quantification and Analysis of Concentration Risk in Structured Products: the Case of Mortgage Backed Securities Granularity adjustments, introduced by Martin and While (2002) and Gordy (2003), allow one to quantify the concentration exposures of credit portfolios due to imperfect diversification. However, they focus solely on name concentrations under an Asymptotic Single Risk Factor (ASRF) framework. In this study, by adapting the multi-pool correlation structure of Hull and White (2010) under the multi-factor setting of Pykhtin (2004), we derive quantitative measures of name and sector concentration that facilitate subsequent analysis of the risk profiles embedded in Mortgage Backed Securities (MBSs). Under different stress scenarios, we examine the impacts of concentration exposures on the internal credit enhancements, in particular, the AAA tranche attachment points. We show that, under severe market conditions, the presence of sector concentrations in the underlying mortgage pools can further amplify the effects of default correlation on the portfolio loss distributions. As a direct consequence, the predetermined subordination level determined by the assignment of tranche attachment points can be exceeded. 【Essay II】 How Loan Portfolio Diversification Affects U.S. Banks’ Return and Risk: Correlation and Contagion Perspectives. In this paper we investigate how loan portfolio diversification affects the banks’ return and risk. We argue that, the dependence structure of bank loan portfolios, namely, the correlation structure among loan assets and the presence of contagion channels due to contractual relationships across the border of portfolio, contributes to the costs of diversification. Under the factor model framework, we derive a theoretical model to depict the asset returns and their dependence structure. Based on data of US bank loans collected from 1987-2014, our empirical study employs HHI, intra-portfolio correlation, and contagion as proxies for diversification to examine how loan portfolio diversification affects the banks’ profitability and riskiness. In addition, contractual relationships are identified and we investigate how customer contagion affects the bank’s performance. We find that all diversification measures exhibit a positive effect on the performance of U.S. banks during tranquil periods. However, for turmoil periods, banks with loan portfolios of more concentrated weight distributions, lower intra-portfolio correlation, or lower consumer contagion effects would have improved returns and reduced risk. In other words, during crisis, banks should choose an appropriate concentration strategy rather than focus on selected industries as determined solely by the HHI.

本文的研究目的為，在一個含有房屋及房屋相關貸款的動態隨機一般均衡模型的架構中，比較貨幣政策、財政政策以及總體審慎政策對於房屋價格及房屋相關貸款的穩定效果。本文建構一個經濟封閉體系，其中包含三種不同家計單位、商品生產部門、房屋建商、資本生產部門，並且由政府部門制定相關政策；此模型的特色為，不同家計單位中的借貸行為、名目價格僵固性以及透過房屋價格抵押貸款的限制來刻劃金融摩擦。我們考慮了一般緊縮貨幣政策、提高財產稅率以及緊縮貸款價值比；本文發現，在三種政策中，對於抑制房屋價格以及降低住房貸款對國內生產毛額的比例，財政政策及總體審慎政策比起緊縮貨幣政策擁有較好的效果。 / The main purpose in this paper is to compare the effect of monetary policy, fiscal policy and macroprudential policy on housing price and housing related loans using a micro-based dynamic stochastic general equilibrium (DSGE) model with housing and housing related loans. We equip a closed economy model with three types of infinitely-lived households (patient households, impatient households and renters), a goods firm, housing and capital producer and a government sector. The model features borrowing and lending between patient and impatient households, nominal rigidity in goods price and financial friction in the form of collateral constraints tied to price of house. We consider the contractionary monetary policy by raising the interest rate, fiscal policy by increasing property tax rate and the macroprudential policy through tightening the loan-to-value (LTV) ratio. We find that among these three policies, in terms of dampening the price of housing and lowering the loan-to-GDP ratio, raising the property tax and lowering the LTV ratio outperforms the contractionary monetary policy.