基于结构化模型住房抵押贷款定价研究.docVIP

基于结构化模型住房抵押贷款定价研究 　　摘 要：住房抵押贷款隐含着提前支付期权与违约期权，而期权是否执行取决于利率与房价两个风险因子.传统的结构化期权定价理论往往高估了住房抵押贷款的期权价值.采用双二叉树网格定价模型在Wei模型的基础上考虑多步跳跃的情形，并结合HST模型消除状态变量相关性，另外引入社会成本这一变量，使模型具有更好的适用性.实证分析表明，房价波动超过一定幅度时期权价值迅速增加，利率波动直接影响期权价值或通过影响房价间接影响着期权价值.因此，必须重视利率对房地产市场的影响并加强宏观调控以维护房地产市场健康发展.?? 　　关键词：随机过程；提前支付期权；违约期权；双二叉树法?? 　　中图分类号：F830 文献标识码：A 　　 　　 　　 Study of the Pricing of Housing Mortgage Loan?? 　　 Based on Structured Mode?お? 　　LONG Hai-ming ,XU Si???k,TANG Hai-long?? 　　 （College of Finance and Statistics, Hunan Univ，Changsha, Hunan 410079, China） 　　Abstract:Prepayment option and default option are implied in the housing mortgage loan, but whether they will be carried out depends on two risk factors, which are interest rate and housing price. Traditional structured option pricing theory usually overestimates the option value of housing mortgage loan. The double binomial tree quid pricing model makes it better adaptive by taking multi-step jumping cases into account on the basis of model Wei, combining HST model to remove state variables correlation and by introducing social cost as a variable. The empirical analysis indicates that the option value increases sharply when housing price fluctuates to a certain extent, and interest rate fluctuation influences the option value directly or indirectly by affecting housing price. Therefore, it is necessary to pay great attention to the impact of interest rate on real estate market, and to strengthen the macro-control on real estate market in order to maintain its healthy development. ?? 　　Key words: stochastic programming; prepayment option; default option; double binomial tree 　　?お? 　　 　　当前，我国的房地产市场已进入结构性调整阶段，房价的周期性波动在所难免，这必将引发银行住房抵押贷款违约率的上升和贷款风险加大.为了保证银行的安全性与收益性，利用现代贷款定价模型为住房抵押贷款进行合理定价以控制风险就显得尤为迫切.?? 　　国内外学者对住房抵押贷款定价模型的研究主要有结构化模型与简化形式模型两大类.简化形式模型强调在贷款的历史数据中通过统计方法描述出借款人的还款行为特征函数，并在此基础上建立贷款定价模型.但是在房价、利率等市场特征因子剧烈波动的经济环境下，简化形式模型的样本绩效较差，该方法将带来显著的模型风险.而结构化模型能够很好地弥补这一缺点，它将违约概率看作内生变量，将借款人债务看作一种期权，并利用期权相关理论进行定价，在经济环境剧烈变化时能准确描述借款人行为变化，因而