Магистерская диссертация посвящена выявлению проблем развития ИЖК в РФ и рассмотрению возможных путей их решения на примере ПАО «Банк ВТБ». Предметом исследования являются экономические отношения в области ипотечного жилищного кредитования в кредитных организациях РФ и применение международного опыта. Основной целью магистерской диссертации является изучение теоретических аспектов ипотечного жилищного кредитования, анализ рынка ипотечного жилищного кредитования Российской Федерации, выявление его основных проблем и предложение возможных путей их решения. В заключении подводятся итоги проведенного исследования, делаются основные выводы и обобщаются перспективы развития ПАО «Банк ВТБ» в области ИЖК в РФ. / The master's thesis is devoted to identifying the problems of the development of housing and communal services in the Russian Federation and considering possible ways to solve them using the example of VTB Bank PJSC. The subject of the study is economic relations in the field of mortgage housing lending in credit organizations of the Russian Federation and the application of international experience. The main goal of the master's thesis is to study the theoretical aspects of mortgage housing lending, analyze the mortgage housing lending market of the Russian Federation, identify its main problems and propose possible ways to solve them. In conclusion, the results of the study are summed up, the main conclusions are made and the prospects for the development of VTB Bank PJSC in the field of housing and communal services in the Russian Federation are summarized.

Выпускная квалификационная работа (магистерская диссертация) посвящена исследованию ипотечного кредитования физических лиц. Предметом исследования выступают экономические отношения, возникающие в процессе ипотечного кредитования физических лиц. Основной целью магистерской диссертации является анализ механизма ипотечного кредитования физических лиц в современных экономических условиях, а также анализ оценки качества ипотечного кредитования физических лиц в РФ и в банке ПАО ВТБ, включающий разработку предложений по их совершенствованию. В заключении обозначены рекомендации по совершенствованию ипотечного кредитования физических лиц в РФ и в банке ПАО ВТБ для объекта исследования. / The final qualification work (master's thesis) is devoted to the study of mortgage lending to individuals. The subject of the study is the economic relations that arise in the process of mortgage lending to individuals. The main purpose of the master's thesis is to analyze the mechanism of mortgage lending to individuals in modern economic conditions, as well as to analyze the assessment of the quality of mortgage lending to individuals in the Russian Federation and in VTB Bank, including the development of proposals for their improvement. In conclusion, recommendations for improving mortgage lending to individuals in the Russian Federation and in the bank of PJSC VTB for the object of research are outlined.

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The first part of the dissertation examines the effects of rate regulation, compulsory insurance laws, the wealth of individuals, premiums, and claim costs on insurance affordability and insurance purchase as measured by the ratio of uninsured and underinsured motorist claims frequencies to property damage liability claim frequencies in the US personal auto insurance industry. Because regulations which are intended to let high-risk drivers purchase insurance may discourage low-risk drivers from purchasing insurance, the effect of the regulations should be examined from the perspective of both high-risk and low-risk drivers. Literature using only uninsured motorist claim data finds that the effect of rate regulation, compulsory insurance laws, and residual market is significant on insurance affordability from the perspective of high-risk drivers. However, this study using both uninsured and underinsured motorist claim data demonstrates that the effect is weaker or not significant in increasing insurance purchase in general. The second part of the dissertation tests the sustainability of the Korean reverse mortgage program, reflecting the house price indices in different regions. Literature generally uses aggregate house price indices and consequently underestimates the risks that result from more volatile individual house prices than averaged house prices. This paper predicts house price indices by region and finds that the Korean reverse mortgage program would have losses at 25th percentile or 30th percentile, in contrast to the results of the simulation using the nationwide house price index, which show that the Korean reverse mortgage program is sustainable at 95% confidence level. This paper also concludes that longevity risk is not a big concern in the reverse mortgage program as long as interest rates are low and house prices are high. However, longevity risk inflates the effect of high interest rates and low house prices on the reverse mortgage program. / Business Administration/Risk Management and Insurance

Housing prices have risen a lot in recent years, and many who have been outside the market may find it difficult to enter. Mortgage lending is something that can drive home prices. The credit officer grants the mortgage and makes the decision according to models that exist within the credit institution. There are many risks with lending, which the Swedish Financial Supervisory Authority, the Basel Committee and other organizations are trying to minimize by placing demands on banks and households. One risk that seems difficult to assess is the credit officer´s human factor that influences decision-making. Previous international research has pointed out that the human factor in lending exists and that it needs to be eliminated to improve the credit process. The uncertainty about the repayment ability can sometimes be difficult to assess and the creditor is forced to make decisions under uncertainty. Does the individual lender have the opportunity to give out loans if the future borrower does not fit the models and calculations that are set up in the organization or is that opportunity minimized in Swedish commercial banks today? A qualitative interview study has been done to try to map this out with the conclusion that the possibility exists, albeit in a very limited form.

In Sweden variable-rate mortgages are relatively common. Furthermore, householdindebtedness is high in relation to other nations within the European Union. Therefore,monetary policy has a stronger effect on the economy due to the household sensitivityregarding interest rates. During times of changes in the policy rate, the expectation is that theimpact on consumption is greater, because of a stronger effect due to higher sensitivity of theinterest rates. Moreover, consumption expenditures make up a large part of the Swedisheconomy, with approximately half of the gross domestic product consisting of householdconsumption. Because of the mentioned reasons it is important and compelling to examinethe relationship between the structure of the mortgage market, monetary policy andhousehold consumption. Thus, we investigate how the mortgage term affects householdconsumption during times the policy rate is changed. To answer the question an empirical method is utilized. The data used is quantitativesecondary data gathered from different sources and coordinated. The data material spans aperiod of roughly 17 years which contains three periods when the Swedish central bankchanged the policy rate and the observations are on a monthly basis, from january 2006 untilseptember 2023. To perform the analysis the statistical software IBM SPSS is used. Theregression analysis is implemented through the “General linear model”. The dependentvariable is household consumption. The explanatory variables include the proportion ofvariable-rate mortgages, disposable income, the policy rate as well as inflation. The policyrate and inflation are also lagged backward in time by one year respectively. The result of the regression analysis implicates that the effects of all the explanatory variablesin the study are statistically significant. As regards the policy rate though, only the laggedversion of the variable is statistically significant. The share of variable-rate mortgages, whichis a measurement of the mortgage term, has a negative effect on household consumption. Theeffect of disposable income is positive. Furthermore, both the policy rate and its laggedversion have negative effects on household consumption. In contrast, inflation has a positiveeffect while the lagged version of inflation has a negative effect on household consumptionwhich is larger in magnitude.

Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

近年來大陸經濟放緩，導致爛尾樓問題頻傳。造成爛尾樓的原因除經濟大環境之外，很大程度應歸咎於大陸預售商品房按揭制度的不健全。本文就大陸按揭制度及其相關爭議進行分析後，認為大陸預售商品房按揭制度的不健全，係因法規多半為原則性規定，加上各管理機關對法規執行落實不足。 為解決對大陸預售商品房按揭制度中爛尾樓，及預售屋購屋者保障不足問題，本研究即針對已臻成熟台、港在預售屋交易安全保障制度深入探討，總結有：履約保證制度的施行，興建資金的專款專戶，專戶款項支付需由第三方履約監管單位掌控，以及購屋者在完工交屋前支付之自備款比例低等特點，此恰為大陸現行預售商品房按揭制度不足之處。 爰此，本文建議得參考台、港的預售制度，進行以下近期措施以改善現行大陸預售商品房按揭制度之缺失：修法明定預售款專戶相關規範並嚴格落實執行，以及調降購屋者預售資金支付比例。就中長期措施而言，本文認為最佳的調整建議為：全面檢討修正大陸預售制度相關法律與行政規範，試行台灣現行預售屋強制履約保證機制，確保預售屋完工機率，以符合交易各方當事人之權益。 / In recent years, China’s economic slowdown leads to endless problems of unfinished buildings. Besides economic climate, imperfect mortgage system for pre-sale commercial housing in Mainland China largely contributes to these problems. After the analysis of mortgage system in China and contentious issues thereof, the thesis finds that imperfect mortgage system is due to only established principles rather than specific regulations in relevant legal systems and limited law enforcement by administrative authorities. To solve issues on unfinished buildings and insufficient protection for house buyers, the thesis studies well established and comprehensive transaction security system on pre-sale commercial housing in Taiwan and Hong Kong, and their advantages are thus concluded as: the enforcement of Escrow system, the establishment of special financial account earmarked for the building fund, the control of the payment for the earmarked building fund, and the reduction of a down payment before handover. These advantages reflect the inadequacies of current mortgage system in China. In light of this, the thesis suggests the following short-term measures with reference to pre-sale systems in Taiwan and Hong Kong, including: stipulating rules as to special pre-sale financial account, enforcing those rules strictly and reducing the portion of down payment. In mid - to - long – term goal, the suggested best strategies herein are to comprehensively review and amend relevant laws, regulations, decrees and policies and launch current mandated Escrow system in Taiwan. By those strategies, the closing of pre-sale housing can be ensured to meet interests of all parties involved in the transaction.

台北市房價明顯高於其他地區，也使得民眾的購屋負擔相對沉重。其中房貸金額屬未來現金流出部分，是否有足夠能力償還貸款將直接影響生活品質。本研究旨在了解總體經濟因素對台北地區家戶房貸負擔能力的影響，並進一步探討家戶房貸負擔能力在面對相同因素下，是否會因所得的差異而有不同影響。 本研究採用Gan and Hill (2009) 提出的負擔風險法 (affordability at risk) 為基礎，藉由應還本付息金額與可負擔還本付息金額等資料計算出家戶單位房貸負擔風險。樣本期間為2009年至2014年，並將台北市全體家戶依所得區分為五等分位，再進一步比較各項經濟變數在不同年度及不同所得下與家戶房貸負擔風險之關係。 經實證結果得到以下四點結論： (1) 台北市整體家戶房貸負擔風險在樣本期間主要受「房價指數」、「經濟成長率」、「貸款利率」與「建物面積」影響。 (2) 當家戶單位所得越高，其房貸負擔越不容易受經濟變數影響。 (3) 銀行核貸條件顯著影響所得較低者之房貸負擔。 (4) 第三所得分位之房貸負擔風險相對其他分位數高。本研究亦提出以下三點建議： (1) 縮短不動產交易實價查詢資料更新時間，使實價登錄價格得以更即時反應。 (2) 續辦理政策性優惠房貸，依區域房價差異彈性調整申貸額度，(3) 針對確實換屋者有條件調整其適用利率，調整購屋補貼息。以期改善未來購屋者之房貸負擔，緩解台北市家戶房貸壓力。 / Housing price in Taiwan has risen for the past decade; Taipei City even reached historical high record in 2014. The burden of the mortgage, which is part of future cash out, becomes more stressful under such circumstance. For household units, the solvency of mortgage could directly impact their quality of life. This study would like to use macroeconomic factors to measure the impact of household mortgage affordability in Taipei metropolitan. This study would observe the relationship between income and household mortgage affordability under the same macroeconomic factors. This study uses affordability at risk published by Gan and Hill (2009), calculating household mortgage affordable risk by actual mortgage amount and affordable mortgage amount. Given different income segmentation, this study would discuss the relationship between household mortgage affordable risk and macroeconomic factors under study period. The empirical results show that "housing price", "economic growth rate", " interest rate" and "building area" have significant effects on household's mortgage affordable risk. The conditions of mortgage affect the mortgage affordable risk of lower income group more than upper income group. The more income the household have, the less significant variables they are affected. Furthermore, the third-income household takes the highest risk of mortgage affordability while the government developed policies in order to curb the housing price.