| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 ===
Literature working on the Asset/Liability Management (ALM) appeared that the duration and convexity of asset and liability is the core of surplus management. Therefore, the accuracy on the measurement of duration and convexity will have an impact on the results of surplus management. Because of the classical measurement of duration and convexity does not involve the interest rate stochastic process and the embedded option properties, it will procure a strong mistrust on accuracy. Therefore, this paper that devised the estimation model of residential mortgage’s duration and convexity for surplus management argued that the estimation model should conform three assumptions: interest rate follows the stochastic process, cash flow is the endogenous variable of model and loans exist prepayment. Moreover, prepayment rate is the function of interest rate.
Previous studies on duration model don’t conform the above-mentioned three assumptions, such as Anderson, Barber, and Chang (1993) and Tzeng, Wang, and Soo (2000). Hence, this paper established a model, which could response the negative-convexity properties of residential mortgage loans adequately, and appeared relatively lower estimation error. In additional, the estimation error of this model results in the lowest negative influence for surplus management rather than others. In conclusion, under the expectation that the interest rate would have greater change in the future, this model should acquire better immunization result for the immunization strategy of surplus management.
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