台灣的經濟環境隨著產業轉型，伴隨而來的將是龐大的商業不動產需求，因此商業性不動產抵押貸款證券勢必成為未來的發展趨勢。本研究以商業性不動產抵押貸款證券為研究主題，目前國內資產證券化的相關文獻，大多偏重於住宅抵押貸款證券相關議題的探討，針對商業性不動產抵押貸款證券的研究則相當缺乏。商業性不動產抵押貸款證券與住宅抵押貸款證券的特性不盡相同，由於商業不動產抵押貸款的金額較住宅抵押貸款龐大，若遭受提前清償，則所影響的層面較為深遠，因此其主要差異之一為商業性不動產抵押貸款證券具有提前清償罰則（Prepayment Penalties）。提前清償罰則的設定對提前清償行為以及證券的現金流量均會造成影響，進而影響商業性不動產抵押貸款證券價格。本研究採用CIR利率模型以及蒙地卡羅模擬法，並考慮提前清償罰則的設定，發展商業性不動產抵押貸款證券的評價架構，且探討提前清償罰則對提前清償比例以及評價結果的影響。

The economic environment of Taiwan has changed. The demand of commercial mortgage has become huge. The commercial mortgage backed securities would be the main trend and be popular in financial market. Commercial mortgage backed securities (CMBS) is different from residential mortgage backed securities. Much larger size of the underlying loans and the much smaller number of them magnify the prepayment risk for CMBS. In the CMBS market, the vast majority of mortgages have some form of prepayment penalty. The prepayment penalty would affect prepayment behavior and cash flow of CMBS. So, it will affect the price of CMBS. The research develops the pricing model of CMBS with CIR interest model and Monte Carlo simulation method. And to probe into how prepayment penalty to affect prepayment ratio and price of CMBS.

一、中文部分
1. 陳文達、李阿乙、廖咸興，「資產證券化－理論與實務」，智勝文化事業有限公司，2002年。
二、英文部分
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