評估抵押債權事務性服務權利的價值-Option-Adjusted Spread的方法Valuing Individual Mortgage Servicing Contracts: An Option- Adjusted Spread Approach

這項研究的主要目的是試圖運用一個(Option-Adjusted Spread)模型來評估抵押債權事務性服務權利的價值。此評價模型包括隨機利率途徑、外生的抵押債權提前清償架構、及預先假定事務性服務權利成本。根據前述三項，此模型可應用來計算事務性服務權利未來服務的淨收益和決定計算其現值的折現因子。然後運用情境分析法進一步探討在各種不同的經濟環境下，抵押債權事務性服務權利所面臨的風險。本文的實用價值在於提供與事務性服務權利相關的政策探討給抵押債權事務性服務權利機構作一參考。

關鍵詞：抵押債權事務性服務權利、提前償還

The study develops a model from which an option-adjusted spread approach is utilized for pricing individual mortgage servicing contracts. The pricing model is comprised of a stochastic interest rate process, an exogenous prepayment function and an assumed servicing cost, all of which jointly determines the contract's future net cash flows and the rate at which to discount these cash flows. Then a scenario analysis is employed to examine a myriad of risk exposures of servicing contracts under various economic environments. The implication of this paper is potentially useful for mortgage servicers to investigate the policy-related issues.
Keywords: Mortgage servicing rights, option-adjusted spread, prepayment.