Aging is an inevitable trend for most of the countries. Compared to developed countries, China lacks a comprehensive social security system that provides a safety net for the welfare of the elderly in their retirement. Even more, Chinese seniors are about to suffer insufficient support from traditional means ??? family and government support. As a last resort, reverse mortgages are a good financial tool to unlock home equity and improve the living standard for elderly without them moving out. This thesis aims to assess the Chinese reverse mortgage market from different perspectives to determine whether reverse mortgages will work in Chinese market. From the demand side, the analysis shows that China???s aged population, identified as the potential consumers of reverse mortgages, has a large fraction of wealth tied up in the form of housing and is in need of a method to release their home equity to finance life after retirement. From the supply side, potential providers could also benefit from reverse mortgages despite the exposure to various risks, e.g. cross over risks. Further examination of the Chinese financial and housing markets, and mortality rate helps to build the Chinese context based on which cash flows of reverse mortgage transactions are simulated. Simulation results show that reverse mortgages are beneficial to the Chinese elderly as accessing home equity allows them to double their consumption. Based on this analysis from different angles, we conclude that reverse mortgages will work in the Chinese market.

No description available.

承做反向房屋抵押貸款有許多的風險，包括有利率風險、房屋價值風險和死亡率風險，而當反向房屋抵押貸款的貸款餘額超過抵押房屋的價值時，則反向房屋抵押貸款的發行機構將會面臨了臨界風險。本文中的利率模型採用Black-Derman-Toy模型(BDT)來生成未來短期利率的機率分布；而房價模型方面則採用Cox-Ross-Rubinstein模型(CRR) ，死亡率模型為Lee-Carter模型。另外，本篇使用了三維度的四元樹模擬方法，觀察在短期利率模型與房屋價值模型相關的條件下，貸放機構將會面臨的預期損失。另外，對於承做反向房屋抵押貸款的貸放機構而言，最高可貸成數是由貸放機構未來預期損失的淨現值總合等於未來貸款保費的淨現值總合所求得。然而，當貸放機構未來所遭遇的實質損失大於預期損失時，貸放機構則將有未預期損失，因此為了移轉此非預期損失，我們設計了一個證券化的模型，希望藉由發行債券的方式，將此反向房屋抵押貸款發生在臨界點之後的臨界風險移轉給資本市場中的債券持有人。 / When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices and mortality rates. Under the consideration of housing price risk, interest rate risk and longevity risk, we provide a three-dimensional lattice method which simultaneously captures the evolution of housing price and short-term interest rate to numerically calculate the fair valuation of reverse mortgages. For a mortgage reverse insurer, the maximum level of reverse mortgage insurance is determined by setting the present value of total expected claim losses equal to the present value of the premium charges. However, when the actual loss is higher than the expected loss, the insurer will incur an unexpected loss. To offset the potential loss, we also design a crossover bond, the payoff structure of which is related to the actual losses and expected losses, to transfer the unexpected loss into the bond investors. Therefore, through the crossover bonds, the reverse mortgage insurers can transfer the crossover risk into the bondholders.

本研究希望透過分析香港導入安老按揭試驗計畫之過程與經驗，並比較其與美國HECM計畫之異同，發掘反向房屋抵押貸款商品導入階段，所面對問題及具體解決方案，藉以提供我國未來規劃相關商品之政策參考。 　　目前內政部規劃於2012年底，試辦公益型反向房屋抵押貸款商品，並由公益彩券盈餘挹注資金，初期採嚴選借款人身份、限定試辦區域及限制受理名額方式辦理。惟以各國發展類似商品之成功經驗，要達到政府建構老年經濟安全保障之多元化目標，回歸財務自給自足，擴大適用對象與範圍，才是正辦。 　　香港推出安老按揭，係華人社會中首見具有政府保險機制之反向房屋抵押貸款。其由香港政府全面主導，建構整體營運架構與商品內容，適足以提供我國極佳之參考範例。本研究發現在營運架構方面，安老按揭以政府保險機制，免除承辦金融機構面對長壽、利率及房價風險之疑慮。同時，亦加強老年人申辦之信任與信心，為日後發展奠定良好基礎；在商品規劃方面，安老按揭貸款採用風險較高之年輕借款人，貸款成數較HECM計畫為低，風險較低之高齡借款人，貸款成數則較HECM計畫為高。以及安老按揭前期成本(Upfront costs)較HECM計畫為低之策略，嘗試說服立法會與民意支持；在消費者保護措施方面，香港近期飽受金融機構不當銷售案例頻仍之苦，安老按揭採用事前強制輔導、事中嚴格控制資金用途及事後長達六個月猶豫撤銷期，以期保護弱勢老年消費者。 　　本研究建議未來政府除保留目前規劃之公益型反向房屋抵押貸款商品，提供擁有房地產的近貧老人，取得日常生活所需資金外。仍應朝向公辦民營型的反向房屋抵押貸款商品發展，由政府帶頭結合民間各項資源，避免財政補貼支出，朝向財務自給自足之目標，俾以擴大服務對象與範圍，達成政府建構老年經濟安全保障多元化之既定目標。