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

Quanti cation and Analysis of Concentration Risk in Structured Products: the Case of Mortgage Backed Securities

10.6277/TER.2015.434.2

傅信豪(Hsin-Hao Fu)；楊啟均(Chi-Chun Yang)；江彌修(Mi-Hsiu Chiang)

房屋抵押貸款證券 ； 集中度風險 ； 微粒化調整 ； 內部信用增強 ； mortgage backed securities ； concentration risk ； granularity adjustments ； internal credit enhancements

經濟論文叢刊

43卷4期（2015 / 12 / 01）

443 - 493

繁體中文

Martin and Wilde (2002)與Gordy (2003)針對巴塞爾協定(BaselAccords)中金融機構之投資組合所內之集中度風險提出了相對應的微粒化調整(Gran ularity 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Pykh tin (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(Single-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(Mo rtgage Backed Securit悶，MBS)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。

Granularity adjustments, introduced by Martin and Wilde (2002) and Gordy (2003) allow one to quantify the concentration exposures of credit portfolios due to imperfect diversification. However, this line of research focused solely on single-name concentrations under an asymptotic single factor framework. In this study, by adapting the inter-mortgage-pool correlation structure of Hull and White (2010) under the multi-factor setting of Pykhtin (2004) we derive quantitative measures of single-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 impact of concentration exposures on the internal credit enhancements, in particular, on the AAA tranche attachment points. We show that, under severe market conditions, the presence of regional concentrations in the underlying mortgage pools can further amplify the effects of default correlation on the portfolio loss distributions. As a direct consequence, the preset subordination level determined by the assignment of tranche attachment points can be exceeded.

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