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부동산금융 상품의 가치결정과 위험관리 기법에 관한 연구(Application of financial engineering method on real estate) : Value assessment and risk management on MBS and REITs

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  • 부동산금융 상품의 가치결정과 위험관리 기법에 관한 연구(Application of financial engineering method on real estate)
  • 김근용; 윤주현
  • 국토연구원


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Title 부동산금융 상품의 가치결정과 위험관리 기법에 관한 연구(Application of financial engineering method on real estate)
Similar Titles
Sub Title

Value assessment and risk management on MBS and REITs

Material Type Reports
Author(Korean)

김근용; 윤주현

Publisher

경기도:국토연구원

Date 2001-12
Pages 99
Subject Country South Korea(Asia and Pacific)
Language Korean
File Type Link
Original Format pdf
Subject Economy < Financial Policy
Holding 국토연구원

Abstract

Korean economy encountered serious liquidity problems, so-called foreign exchange and financial crisis, in 1997. Real estate securitization was so urgently needed to aid restructuring of entrepreneurs and banks that government has implemented several measures to promote real estate finance in Korea. Asset securitization including mortgage securitization was introduced to Korea in 1998 with the enactment of the Asset Securitization Law that was followed by the Act on Housing Mortgage Securitization Companies. And real estate investment companies were allowed with the enactment of the Real Estate Investment Companies Law in July 2001.
In spite that the new financing methods like securitization and investment finance were institutionally introduced in real estate sector, it is early to expect these new methods work efficiently. Since real estate sector in Korea has been working based on the speculative incentives rather than the cash-flow incentives and the supporting system of the new financing methods is in the premature stage.
One of the issues in supporting system is that pricing model of financial products concerning real estate properties is very rare to be used. In order to promote securitization and investment in the real estate sector, analytical tools like financial engineering should be applied to evaluate and design financial commodities concerning real estate like ABS, MBS, REITs. This study is the trial to adopt financial engineering method to evaluate MBS and REITs. Thus, the purpose of this study is to set up the pricing model of MBB(mortgage-backed-bond) and REITs, and to identify the financial risks embedded in real estate financial products in order to suggest the risk management method. (The rest is omitted.)

User Note

이 연구보고서의 내용은 국토연구원의 자체 연구물로서 정부의 정책이나 견해와는 상관없습니다.