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System No. U0002-2506200921275100
Title (in Chinese) 房貸商品評價模型探討與分析
Title (in English) The Discussion and Evaluation of Mortgage Model
Other Title
Institution 淡江大學
Department (in Chinese) 管理科學研究所碩士班
Department (in English) Graduate Institute of Management Science
Other Division
Other Division Name
Other Department/Institution
Academic Year 97
Semester 2
PublicationYear 98
Author's name (in Chinese) 張啟璋
Author's name(in English) Chi-Chang Chang
Student ID 696620516
Degree 碩士
Language Traditional Chinese
Other Language English
Date of Oral Defense 2009-06-01
Pagination 42page
Committee Member advisor - 倪衍森
advisor - 楊志德
co-chair - 於貽彰
co-chair - 歐陽良裕
co-chair - 高棟樑
Keyword (inChinese) 固定利率房貸
指數型房貸
提前清償
Keyword (in English) Fixed Rate Mortgage
Adjustable Rate Mortgage
prepayment amount
Other Keywords
Subject
Abstract (in Chinese)
本文分別針對固定利率與指數型房貸這兩種房貸商品建立對應之總利潤現值函數,主要目的在於決定銀行的最適房貸利率,以使得其期望總利潤現值為最大。文中發現放款利率與需求數是決定營收的最主要因素,對銀行利潤而言,會隨著利率、貸款額度與需求數呈正向影響,與提前償還成反向影響,故銀行擬定放款利率時應謹慎考量之間的得失權宜來擬定最適的放款利率。
Abstract (in English)
This study establishes present value of total profit function for analyzing fixed rate
mortgage and adjustable rate mortgage, and decides the optimal mortgage interest rate in order to get the expected present value of total profit. In this research, we find the factors for deciding mortgage revenue amount are interest rate and demand for mortgage. As for concerning profit for banks, the interest rate, demand, and quota for mortgage have positive effects for profit, and prepayment amount has negative effect for profit. Thus, while setting interest rate for mortgage, banks should concern benefit and cost with care in order to decide the optimal interest rate for mortgage.
Other Abstract
Table of Content (with Page Number)
目錄
頁次
目錄Ⅰ
表目錄Ⅲ
圖目錄Ⅳ
第一章緒論1
1.1研究背景、動機與目的1
1.2房貸商品的介紹2
1.3文獻探討3
1.3.1房貸績效相關文獻3
1.3.2非房貸績效相關文獻12
1.4研究架構14
第二章固定利率房貸	16
2.1前言16
2.2符號說明與假設16
2.3基本模式建立17
2.4理論結果與數值分析19
2.5數值範例20
2.6敏感度分析21
第三章指數型房貸模型24
3.1前言24
3.2符號說明與假設24
3.3基本模式建立25
3.4理論結果27
3.5數值範例28
3.6敏感度分析29
3.7小結33
第四章結論34
4.1彙整歸納重要研究結果34
4.2後續研究之建議36
參考文獻37
一、中文文獻37
二、英文文獻38
附錄一第二章固定利率房貸每期收取金額A之證明41
附錄二第三章指數型房貸每期收取金額A之證明42

表目錄
頁次
表1.1影響提前償還率或違約因素分析8 
表2.1主要參數值的變動下對利率與總利潤的變化21
表3.1貸款額度變動下對利率與總利潤的變化29
表3.2折現率變動下對利率與總利潤的變化30
表3.3需求函數之參數 值變動下對利率與總利潤的變30
表3.4需求函數之參數 值變動下對利率與總利潤的變化31
表3.5固定業務相關費用變動下對利率與總利潤的變化31 
表3.6變動業務相關費用變動下對利率與總利潤的變化31 
表3.7本利無法完全回收的損失比例變動下對利率與總利潤變化32
表3. 8提前償還支付違約金的比例變動下對利率與總利潤的化32
表4. 1各參數對利率與總利潤的影響34
表4. 2固定與浮動利率之最適解35

圖目錄
頁次
圖1-1 研究流程15
References
一、中文文獻
江百信、張金鶚 (1995)「我國購屋貸款放款條件之研究」,住宅學報,第三卷,第一期,頁1-20。 
李沃牆、彭敏瑜 (2006)「房貸提前償還率違約金之探討」,永豐金融季刊,第三十九期,頁93 -120。
吳雨潔(2006)「選擇權指數型房貸與傳統指數型房貸之評價分析」,國立清華大學科技管理研究所未出版之碩士論文。
吳政穎(1995)「台灣地區銀行放款行為之實證研究─以公開發行公司之借款者為例」,東海大學管理研究所未出版碩士論文。
林左裕(2006)「美國次級房貸風暴對台灣金融資產證劵化及投資者之啟示」,住宅學報,第十七卷,第一期,頁111-123。
周欣怡 (2006)「房屋貸款違約預測-存活分析模型之應用」,真理大學財經研究所碩士班。
郭姿伶(2005)「住宅房屋抵押貸款之提前清償與逾期放款」 ,國立中正大學財務金融研究所未出版之碩士論文。
陳家彬、賴怡洵 (2000)「台灣地區銀行放款訂價:理論與新舊銀行之實證比較」,管理學報, 第十七卷第三期,頁415-440。
莊瑞珠、陳穆貞(2006)「金融機構住宅房屋貸款信用評分系統之建構研究」,住宅學報,第十五卷,第二期,頁65-90。
陳家彬、賴怡洵 (2000)「台灣地區銀行放款訂價:理論與新舊銀行之實證比較」,管理學報, 第十七卷第三期,頁415-440。
楊顯爵、林左裕、陳宗豪 (2006)「住宅抵押貸款違約之研究-影響因素之顯著性分析」,台灣土地研究,11(2)(即將出版)
賴朝明 (2003)「基準利率制度與指數型房貸」,信用合作,第七十八期,頁52-65。
劉展宏(2001)「我國購屋貸款提前清償機率之研究」,2001年中華民國住宅學會第十屆年會論文集,頁393-415。
劉展宏(2002)「我國購屋貸款提前清償機率之研究」,2002 年中華民國住宅學會第十一屆年會論文集,頁46-60。
劉寶華 (2004)「指數型房貸對銀行績效之影響」,國立政治大學財務金融所碩士班未發表之論文。
羅孟珊 (1999)「全國金融機構對於指數型房貸訂價行為的研究」,國立台北大學地政學所未發表之論文。
二、	英文文獻
Blackwell, D. W. and D. B., Winters (1997). “Banking Relationships and the Effect of Monitoring on Loan Pricing,” Journal of FinancialResearch, 2,pp 275-289.
Booth, J.R. (1992) .“Contract Costs ,Bank Loans ,and the Cross-monitoring Hypothesis,” Journal of Financial Economics, 31,pp 25-41.
Boyle, M., J.N.Crook, R. Hamilton and L.C. Thomas (1992). “Methods for Credit Scoring Applied to show Payers,” in Proceedings of the IMA Conference on Credit Scoring and Credit Control. 75-90. ed. Thomas, Crook &Edelman, Oxford: Clarendon Press.
Deng, Y. H., Quigley, J. M., and Van Order, R.(1997)." Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy", Regional Science and Urban 
Economics ,26,pp 263-285.
Epley, D.R., K. Liano and Haney(1996).“Borrower Risk Signaling Using Loan-to-Value Ratios,” The Journal of Real Estate Researth,11,pp 71-86
Foster, C., and Van Order, R.(1984).“An Option-based Model of Mortgage Default”, 
Housing Finance Review, 3, pp 351-372.
Henley, W.E. and D.J. Hand (1996).“A k-NN Classifier for Assessing Consumer Credit Risk,” The Statistician, 65,pp 77-95
Hutchison, D. E.(1995).“Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach,”Journal of Money, Credit ,and Banking,27,pp 217-231
Goldberg, M. A., (1982).“The Pricing of the Prime Rate,” Journal of Banking and Finance,6,pp 277-296.
Kau, J. B., Keenan, D. C., Muller, W. J. III, and Epperson, J. F.(1992).“A Generalized Valuation Model for Fixed-Rate Residential Mortgages”, Journal of  
  Money, Credit, and Banking,24, pp279-298.
Lawrence, E. C., Smith, L. D., and Rhoades, M.(1992).“An Analysis of Default Risk in Mobile Home Credit”, Journal of Banking and Finance, 16,pp 299-312.
Mester, L. J., S. and Anthony(1995).“When Does the Prime Rate Change?,”Journal of Banking & Finance,19,pp 743-764
Reinhart, C. M. and K. S. Rogoff (2008).“ Is the 2007U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison,”Working Paper of National Bureau of Economic Research
Smith, L. D., Sanchez, S. M., and Lawrence, E. C.(1996).“ A Comprehensive Model 
for Managing Credit Risk on Home Mortgage Portfolios”, Decision Sciences, 27,pp 291-317
Srinivasn, V. and Y.H. Kim(1987).“Credit Granting: a Comparative Analysis of Classification Procedures,” Journal of Finance,42, pp 665-683
Stanley, T., R., Craig, and L., John(1995). “Loan Pricing,” The BankersMagazine, 178,pp 37-41.
Vendell, K. D., and Thibodeau, T.(1985).“ Estimation of Mortgage Default Using Disaggregate Loan History Data”, AREUEA Journal,15,pp 292-317.
Wang, S P.(2002).”An inventory replenishment policy for deteriorating items with shortages and partial backlogging.” Computers and Operations Research,29, pp 2043-2051. 
Zorn, P. M., and Lea, M.(1989).“ Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable-Rate Mortgage Data“, AREUEA Journal,17,pp 118-136.
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