房貸基礎證券評價與風險值－風險中立評價法與均衡評價法之比較

Valuation and Value-at-Risk of Mortgage-backed Securities- Risk Neutral Pricing and Equilibrium Pricing

10.6545/JFS.2007.15(2).1

廖咸興(Hsien-Hsing Liao)；張森林(San-Lin Chung)；陳仁遶(Ren-Raw Chen)；楊太樂(Ty-Ler Yan)；廖堃宇(Kun-Yu Liao)

風險中立評價 ； 房貸基礎證券 ； 風險值 ； Risk-Neutral Pricing ； Mortgage-backed Securities ； Value-at-Risk

財務金融學刊

15卷2期（2007 / 06 / 30）

1 - 42

繁體中文

房貸基礎證券內隱含的提前還本買權與違約責權本身並無交易市場，因此實務與學街上經常運用的風險中立定償法在評價此種證券時會產生適用性的疑慮。我們以此為出發點，利用Chen, Liao, and Yang （2004）所提出之「均衡房貸評價模型」之機構，引用美國市場實際資料，探討風險中立評價方法應用於於房貸基礎證券評價及風險值估計所造成的影響。數值棋分析顯示，房貸基礎證券在風險中立評價法與均衡房貸評價法下有相當大的評價差距，而房貸基礎證券之風險值評估的正確性也受到相當大的影響。

Because the prepayment and default options embedded in a mortgage are not tradable and cannot be priced by the widely used risk neutral pricing model, pricing errors will occur when applying the pricing methodology to the valuation of mortgage-backed securities. By using the Equilibrium Mortgage Pricing Model proposed by Chen, Liao, and Yang (2004) and the American market data, we examine the effects on the valuation and value-at-Risk of mortgage-backed securities if applying risk neutral pricing methodology. Our numerical analyses found significant errors in both the valuation and value-at-risk estimation.

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