책임한정 주택담보대출에 내재된 비소구권의 가치에 대한 연구
Non-Recourse Mortgage Loans and Implied Option Prices
0
조회
0
다운로드
3
인용
0
참고문헌
키워드
초록
책임한정 주택담보대출에 내재된 비소구권은 채무자의 책임이 저당권이 설정된 주택가액으로 한정되는 일종의 미국형 풋옵션이다. 본고는 비소구권의 특성을 활용하여 가산 금리를 결정하는 이론모형을 개발하고, 비소구권의 가치에 영향을 주는 주요요인에 대해 분석하였다. 연구결과에 의하면, 비소구권의 가치 및 가산 금리에 가장 큰 영향을 주는 요인이 대출비중(LTV) 및 주택가격의 변동성으로 나타났다. 20%의 변동성과 70%의 LTV가 적용된 책임한정대출에 대해 반복법(iterative method)으로 가산 금리를 추정한 결과 가산 금리는 8bp로 낮은 수준이었으나 LTV가 90%로 상승할 경우 가산 금리는 29bp로 급격히 증가하였다. 또한 변동성이 25%, 30%로 상승함에 따라 가산 금리는 (8bp에서) 19bp, 33bp로증가하였다. 반면, 시장금리수준 및 대출의 만기는 비소구권의 가치 및 가산 금리에 유의미한 영향을 미치지 못하였다. 이러한 결과는 금융기관이 책임한정 주택담보대출에 대한 금리를 산정하는 과정에서 LTV 및 저당권이 설정된 주택가격의 변동성을 정확히 추정해야한다는 함의를 제공한다.
Abstract
This paper develops the model to determine the interest spreads of non-recourse mortgage loans using option pricing models and then analyzes the main factors that affect them. According to the results, the most significant factors that influence the interest spreads are the loan-to-value (LTV) and the volatility of home prices. Using the iterative method to determine the early-exercise-boundary, we calculated the implied interest spreads based on the empirical housing process. For the volatility of 20 percent and the loan-to-value of 70 percent, the interest spread is relatively small as 8 basis points. However, if the loan-to-value increases by 90 percent, the spread increases by 29 basis points. In addition, if the volatility increases to 25 percent and 30 percent, the spread becomes 19 and 33 basis points, respectively. By contrast, the level of a market interest rate and the time-to-maturity on loans cannot make significant changes in the spread. These results provide the implication that the financial institutions should estimate the both factors exactly when they introduce the non-recourse mortgage loan in Korea.
참고문헌 (24)
- 박준, "주택담보대출제도 개선방안" (2014), 서울대학교 금융법센터
- 이철우, "비소구 주택담보대출 도입 타당성에 관한 연구", 부동산ㆍ도시연구, 5(1), pp.65~80 (2012)
- Ambrose, B., "Pricing Mortgage Default and Foreclosure Delay", Journal of Money, Credit, and Banking, 29, pp.314~325 (1997)
- Ambrose, B., "Optimal Put Exercise: An Empirical Examination of Conditions for Mortgage Foreclosure", Journal of Real Estate Finance and Economics, 23, pp.213~234 (2001)
- Bates, D., "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options", Review of Financial Studies, 9, pp.69~107 (1996)
- Bates, D., "Post-’87 Crash Fears in the S&P 500 Futures Option Market", Journal of Econometrics, 94, pp.181~238 (2000)
- Black, F., "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, pp.637~659 (1973)
- Byun, S., "The Role of the Variance Premium in Jump-GARCH Option Pricing Models", Journal of Banking and Finance, 59, pp.38~56 (2015)
- Castilla, M., "Mandatory Non-recourse Mortgages as Housing Bubbles Preventing Devices", 22nd International Housing Research Conference (2010)
- Non-Recourse Mortgages and the Prevention of Housing Bubbles: A Proposal for a Reverse in the Default Rule on Mortgage Liability in Spain, "Castilla, M.", ~ (2011)
- Christoffersen, P., "Dynamic Jump Intensities and Risk Premiums: Evidence from S&P500 Returns and Options", Journal of Financial Economics, 106, pp.447~472 (2012)
- Claureite, T., "The Impact of Interstate Foreclosure Cost Difference and the Value of Mortgage on Default Rate", Real Estate Economics, 15, pp.152~167 (1987)
- Corbae, D., "Mortgage Innovation and the Foreclosure Boom", Department of Real Estate Economics, pp.2010
- Duan, J. -C., "The GARCH Option Pricing Model", Mathematical Finance, 5, pp.13~32 (1995)
- Foote, C., "Negative Equity and Foreclosure: Theory and Evidence", Journal of Urban Economics, 64, pp.234~245 (2008)
- Ghent, A., "Recourse and Residential Mortgage Default: Evidence from U.S. States", Review of Financial Studies, 24, pp.3139~3186 (2011)
- Guiso, L., "The Determinants of Attitudes toward Strategic Default on Mortgages", Journal of Finance, 68, pp.1473~1515 (2013)
- Recourse and Non-Recourse Mortgages: Foreclosure, Bankruptcy, Policy, "Harris, R.", ~ (2010)
- Heston, S., "A Closed-from Solutions for Options With Stochastic Volatility with Applications to Bond and Currency Options", Review of Financial Studies, 6, pp.327~343 (1993)
- Heston, S., "A Closed-form GARCH Option Pricing Mode", Review of Financial Studies, 13, pp.585~626 (2000)
- Hull, J., "The Pricing of Options with Stochastic Volatilities", Journal of Finance, 42, pp.281~300 (1987)
- Jones, L., "Deficiency Judgments and the Exercise of the Default Option in Home Mortgage Loans", Journal of Law and Economics, pp.115~138 (1993)
- Pan, J., "The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study", Journal of Financial Economics, 63, pp.3~50 (2002)
- Solomon, D., "Non-Recourse, No Down Payment and the Mortgage Meltdown: Lessons from Undercapitalization", Fordham Journal of Corporate & Financial Law, 16, pp.529~570 (2011)