商业银行个人房贷模型设计——基于次贷危机的经验反思  

Individual Mortgage Model Design of Commercial Banks——A Lesson from Sub-prime Mortgage Crisis

作　　者：周洛华[1] 宋晖炯[2] 

机构地区：[1]上海大学房地产学院,上海201702 [2]上海大学国际工商与管理学院金融系,上海200444

出　　处：《上海财经大学学报（哲学社会科学版）》2008年第6期59-64,共6页Journal of Shanghai University of Finance and Economics

摘　　要：美国次贷危机逐步演变成了一场席卷全球的金融风暴,这表明目前普遍采用的房贷风险控制体系存在着严重的理论缺陷。本文总结了美国次贷危机中的经验教训,试图通过房价波动率这个全新的视角来构建一个适用于商业银行的房贷模型。这种新的方法借鉴了Emanuel Derman(1996)解决有关波动率微笑①问题提出的隐含柔性二叉树和局部波动率为工具,使得商业银行在推出各种灵活的房贷产品的同时保证其安全性,从而避免出现类似次贷危机的结构性风险。U. S. sub-prime mortgage crisis has evolved into a global financial storm and it shows that there exists a severe theoretical defect in current mortgage risk control system. Based on the lessons from the crisis, the paper tries to construct a mortgage model from a new perspective of fluctuation ratio of housing price. It makes use of implied binomial tree and local fluctuation ratio which raised by Emanuel Derman in 1996, securing flexible mortgage products promoted by commercial banks to avoid similar structural risk of sub-prime mortgage crisis.

关 键 词：房贷定价模型 波动率的微笑 内含柔性二叉树 局部波动率 

分 类 号：F830.572[经济管理—金融学]