상업저당대출의 가치에 영향을 미치는 요인에 관한 실증적 분석 - 옵션이론을 중심으로 = An Empirical Analysis of the Pricing Factors of Commercial Mortgage Loans - Using Option Theoretic Approach -

국문 초록 (Abstract)

  2005년 미국의 상업용모기지증권(Commercial Mortgage Backed Securities, CMBS)에 해당하는 국내 부동산ABS 발행 규모가 105건 4조8760억 원에 달했다고 한다. 이러한 채권의 가치는 이를 뒷받침하는 개별 대출의 가치의 합이므로, 개별 상업저당대출의 적절한 가치 평가 모형의 추정은 동 채권의 투자자 및 대출 금융기관 모두에게 실용적 의의가 있다. 본 논문은 상관적이고 경합적인 위험(Correlated and Competing Hazards)에 관한 비례위험함수모형(Proportional hazard specification)을 이용하여 개별 대출에 내재된 옵션인 부도 옵션(Default option)과 조기상환 옵션(Prepayment option)의 가치에 영향을 미치는 요인에 관하여 연구하였다. 적절한 투입변수의 선정의 측면에서 우리는 전통적으로 강조되어온 분기별 추정 지수(Index)를 기초로 계산된 담보대출비율 (Loan to value, LTV)이나 부채상환충당비율(Debt Service Coverage Ratio, DSCR)에 더하여, 시장에서 관측 가능한 월별 데이터인 CMBS의 수익률이나 개별 모기지 수준의 정보인 담보자산의 공실률 및 모기지 채무 연체상황같은 보다 직접적인 데이터를 사용함으로써 모델의 유용성을 높일 수 있음을 보였으며, 적절한 실증모형( Empirical specification)과 관련하여서는 좀 더 복잡한 형태인 내포모형(Nested model)과 확률계수모형(Random coefficient model)의 필요성을 보였다.

다국어 초록 (Multilingual Abstract)

  It was reported that the total issuance of Korean real estate asset backed securities(REABS) corresponding to commercial mortgage backed securities (CMBS) in the United States, amounted to KRW 4.87 trillion over 105 deals in 2005. The value of the CMBS is the sum of the values of individual mortgage loans supporting it. So it is practically meaningful for both CMBS investors and originators of such loans to find better empirical specification with better input variables on the pricing function for individual loans. We studied the pricing factors associated with two embedded options in individual mortgages, namely the default option and the prepayment option, employing a Cox-type proportional hazard model with competing risks having correlation. We show that the forecasting power of the model can be improved by using market data(e.g. treasury rate time series) and individual loan-level data(e.g. occupancy rate and performing status) as input variables in addition to classical variables such as loan to value(LTV) and debt service coverage ratio(DSCR), calculated based on the quarterly indices. We also propose a more advanced, and naturally enough more complicated, specification such as that of a nested model and that of a random coefficient model in order to keep abreast of current changes in commercial mortgage markets.

목차 (Table of Contents)

• 〈Abstract〉
  Ⅰ. 서론
  Ⅱ. 이론적 배경
  Ⅲ. 실증분석 결과
  Ⅳ. 결론
  참고문헌
  국문요약
  

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