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139
臺大管理論叢
2016/6
第
26
卷第
2
期
139-172
DOI: 10.6226/NTUMR.2016.JUL.R.13003
反向房屋抵押貸款商品結構分析
Structural Analysis of Reverse Mortgages
摘 要
本文研究目的是在分析反向房屋抵押貸款之商品結構，以幫助承作貸款金融機構了解該
商品的特性，有效管理相關風險並從中獲利。在美國
HECM (Home Equity Conversion
Mortgage)
架構下，我們將房屋期初價值拆解為可貸金額、租金收益、房屋剩餘價值、貸
款機構所獲得保險保障（保險成本）、保費支出（收入）以及發行貸款金融機構利潤六
個部分，並且分析各個項目的價值，以瞭解金融機構發行該商品的獲利能力與相關風險。
不同於過去的文獻著重於反向房屋抵押貸款保險成本方面的探討，本研究提供了一個具
體的分析方式，使得金融機構能夠評估發行該商品的預期利潤以及相關風險；另一方面，
也使得借款人釐清辦理反向房屋抵押貸款後，自己所保有的權益價值。
【關鍵字】
反向房屋抵押貸款、選擇權評價
Abstract
This study analyzes the structure of reverse mortgages. For the purpose of achieving profits
and effectively managing risks, it is important that financial institutions understand the
structures of their products. In accordance with the HECM (Home Equity Conversion
Mortgage) program, this study decomposes the collateralized property value into six
components, including loan amount, rental income, remaining value (on loan termination),
reverse mortgage insurance costs and expenses (premiums), and lender profits. This allows
financial institutions to understand the profitability and risks associated with the issue of
reverse mortgages. Previous studies on reverse mortgages focused on the analysis of reverse
mortgage insurances. This study has instead provided a process that enables lenders to
specifically evaluate profit and effectively recognize potential risks. Borrowers can also use
the proposed approach to obtain detailed conversion value of their property and thus make
more informed decisions regarding entry into reverse mortgages.
【
Keywords
】
reverse mortgage, option pricing
李永琮
/
國立嘉義大學財務金融學系助理教授
Yung-Tsung Lee
, Assistant Professor, Department of Banking and Finance, National Chiayi University
羅玉皓
/
立達國際電子股份有限公司財務部助理
Yu-Hao Lo
, Financial Assistant, Gigastone Corporation
Received 2013/1, Final revision received 2014/7