基于提前支付强度过程抵押贷款定价及均衡.docVIP

基于提前支付强度过程抵押贷款定价及均衡摘 要：基于提前支付强度过程考察了固定利率抵押贷款合同的定价和市场均衡问题。将均衡问题描述成代表性抵押人与市场之间的博弈。均衡由市场决定的内生抵押贷款利率和抵押人的最优再融资策略描述。在时齐Markov链利率及正线性比例再融资成本假设下，抵押人的规划问题可以简化成一个仅包含三个离散状态变量的Markov决策链，且一定存在唯一解。从而，均衡可由一个抵押利率决定函数和抵押人的最优再融资策略组成。一个简单的数值例子说明了计算均衡的迭代算法。结果表明，抵押人选择再融资往往是不明智的短视行为。? 关键词：抵押贷款；提前支付强度过程；Markov决策链；内生抵押贷款利率? 中图分类号：F830.9 文献标识码：A 文章编号：1003-5192（2008）05-?0069-?06?? Valuation and Equilibrium of Mortgage: An Intensity-based Approach? QIAN Yan-xiang? (School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China) ? Abstract:Based on prepayment intensity process, the valuation of fixed-rate mortgage contracts is studied and an equilibrium model is built with the specification of a game between the representative mortgagor and the market whose optimal strategy are about the endogenous mortgage rates and whether to refinance a new contract or continue with the current one, respectively. Under the assumption of the rate process of time-homogeneous Markov chain and positive linear refinancing cost, the dynamic programming problem of the mortgagor is simplified to a Markov decision chain with only three discrete state variables which is proved, by standard dynamic programming theory, to have a unique solution. Thus, the equilibrium can be given by a pair of the endogenous rate and the optimal refinancing strategy of the mortgagor. A simple numerical example with an iteration algorithm is finally provided to show how to compute the equilibrium. The results show that the mortgagor is usually too hasty to refinance, thus refinancing is typically a myopic behavior.? Key words:mortgage; prepayment intensity process; Markov decision chain; endogenous mortgage rate?? 1 引言? 抵押贷款（mortgage）的定价是抵押贷款证券化的核心问题。一般认为，抵押贷款合同的价值依赖于提前支付风险（prepayment risk）和违约风险（default risk）。前者指贷款人（如银行）允许抵押人（mortgagor）在到期日之前就偿还当前的贷款余额。后者指抵押人选择放弃抵押财产而不继续还款。如果不存在违约风险，那么仅仅包含提前支付风险的抵押贷款合同的价值等于未来现金流（抵押人的付款）的期望现值。抵押贷款可以分为固定利率抵押贷款（fixed-rate mortgage）和浮动利率抵押贷款（floating-ra