基于强度模型住房抵押贷款定价及分析.docVIP

基于强度模型住房抵押贷款定价及分析摘 要：Kau、Keenan和Smurov以美国个人住房抵押贷款市场为研究对象,建立了住房抵押贷款强度定价模型（简称KKS模型）。但此模型不尽完善，不能完全适合中国市场。因此，本文从中国个人住房抵押贷款市场的实际出发，改进KKS模型的三个关键因素：折现方法、追偿值计算和利率随机模型，建立了基于强度模型的住房抵押贷款定价模型。为了验证新模型的适用性，利用蒙特卡罗方法，给出了一份10年期、首付50%、本金10万元的住房抵押贷款的价值，分析了房价趋势、首付比例、贷款利率、贷款期限对住房抵押贷款价值的影响。研究结论对我国银行制定合理的住房抵押贷款政策具有重要的借鉴价值。? 关键词：强度模型；住房抵押贷款；定价；蒙特卡罗模拟? 中图分类号：F830.53 文献标识码：A 文章编号：1003-5192（2008）05-?0075-?06?? Valuation Mortgage for Housing and Its Implications ? with An Intensity Approach? ZHOU Ying-ying, QIN Xue-zhi, SHANG Qin, WANG Yue? (School of Management, Dalian University of Technology, Dalian 116024, China)? Abstract:Kau, Keenan and Smurov research American individual mortgage market and design a mortgage pricing intensity model. But this model isn?t perfect and doesn?t fit for Chinese market. So, according with Chinese individual mortgage market, this paper designs a mortgage for housing pricing model with an intensity approach which improves three key factors of KKS model: discounting method, calculate approach of recovery value and interest rate stochastic model. For validating applicability of new model, this paper calculates the value of a 10000 yuan loan whose term is 10 years and proportion of initial payment is 50%, and analyses influence of house price trend, the proportion of initial payment to principal, loan interest rate and term to mortgage value with Monte Carlo method. Results are very useful to banks in China to draw up or execute mortgage policy.? Key words:intensity model; mortgage for housing; pricing; Monte Carlo method?? 1 引言? 自1998年住房体制改革以来，商业银行不断扩大个人住房抵押贷款业务，持续火爆的房地产市场掩盖了该业务的潜在风险――违约风险和提前偿付风险。国外银行常用MBS（Mortgage Backed Securities）管理这两种风险。但目前我国金融市场流动性过剩，股票市场、房地产市场投资回报率显著高于此类固定收益证券，种种原因使MBS近期内失去了迅速、广泛推行的动力。因此，如何及时发现、准确衡量、积极防控这两种风险成为我国商业银行迫切需要解决的问题。本文首先从微观视角出发，衡量出违约和提前偿付风险对一份贷款价值的影响程度，进而揭示我国房贷市场的宏观风险。最后以贷款价值最大化为目标，对个人住房抵押贷款政策提出合理建议。? 依据描述贷款人行为方法不同，住房抵押贷款定价模型可分为两类：结构化模型和简约化模型。结构化模型假定贷款人在最优时点执行期权，贷款人行为是由期权理论内生给定的。结构化模型的代表文献有：Kau等［