| Summary: | 碩士 === 國立清華大學 === 計量財務金融學系 === 100 === Shared appreciation mortgage(SAM) is an innovative financial products under the background of a long-term acceleration in inflation and higher market interest rates. The originator of SAM lends the house owner at a below-market mortgage rate in order to obtain a certain percentage of the appraised value on the collateralized property. In view of the failure of SAM development under asymmetric information in United Kingdom during 1996 to 1998, this article intends to use the basic nature of SAM, based on the past literature about pricing model, to distribute the SAM contract into two parts, which can help explain the inadequacy of market information. First part is Credit Facility, given the variable assumptions and limitations, which goal is establishing a loan covenants related factor model. The second part is the use of binomial tree method and adding of other effective factor like moral hazard, in order to obtain the value of early exercise, default and the loan covenant. Furthermore, we will include inflation rate, market interest rate among the above basic model, then we will make an analysis of the impact of these macroeconomic variables for the contract value of SAM, the expiration date of SAM, the payment of each month and the ratio of shared appreciation.
|
|---|
