資本寬容對房屋抵押貸款保險之影響The Impact of Capital Forbearance on Mortgage Insurance
The system of mortgage insurance has developed over a long period of time and plays an important role in the housing financial market. Since many mortgage insurers suffered huge losses during the subprime mortgage crisis which resulted in capital scarcity, the government came under great pressure to bail them out in order to avoid a systemic economic crisis. Hence, this paper derives a closed-form formula for a mortgage insurance contract that takes into consideration counterparty default risk and capital forbearance. From the numerical analysis, we demonstrate that the mortgage insurance premium is an increasing function of the forbearance threshold.Furthermore, a higher asset–liability ratio leads to a more significant impact of the forbearance threshold on the fair premium for mortgage insurance. In addition, the longer the capital forbearance period and the higher the asset–liability ratio, the higher the fair premium of mortgage insurance.
Key words: capital forbearance, mortgage insurance contract, counterparty risk