异质提前还款因素下住房抵押贷款定价研究  

The Valuation of Residential Mortgages with Embedded Heterogeneity Prepayment Risk

作　　者：王鹰翔[1,2] 李晔[3] 

机构地区：[1]西安交通大学管理学院 [2]中国工商银行信贷管理部 [3]天津大学管理学院

出　　处：《金融论坛》2009年第6期20-25,共6页Finance Forum

摘　　要：基于引入宏观经济变量的仿射利率期限结构模型,本文构建了适合中国国情的提前还款模型。研究表明,国内住房抵押贷款的提前还款主要来自于收入和支付能力的提高。根据两个模型考虑了单因素和双因素两种情况,计算出相应的单月提前还款率(SMM)。在模型中考虑了异质性因素,加入了交易成本因素,并假设其服从beta分布,通过概率的变换得到SMM。在此基础上,在不同路径上模拟未来利率,利用提前还款模型对每条路径上的SMM进行计算,得到未来各期的现金流在某时点的折现值,而后对多条路径上的价格求算术平均值作为考虑提前还款后的住房抵押贷款理论价格。By using an affine term structure model with introduction of macro-economic variables, the paper establishes a dynamic model to measure prepayment risk faced by Chinese commercial banks. The result reveals that the source of prepay- ment source on domestic residential mortgages mainly comes from the improvement of income. The corresponding single- monthly-mortality （SMM） is calculated from both single-factor and dual-factor perspectives. Given the assumption that SMM is subject to beta distribution, the model estimates SMM with consideration of the implications of heterogeneity and transac- tion cost. A Monte Carlo approach is applied to simulate the interest rates in different paths, based on which the prepayment model can measure SMM in each path and obtain the discounted cash flow at given points of time over each of future peri- ods. The arithmetic mean of prices of different paths can be used as the theoretical price of residential mortgages with ern- bedded prepayment risk.

关 键 词：住房抵押贷款 违约风险 提前偿还风险 Kalman滤波 

分 类 号：F830.5[经济管理—金融学]