住房抵押贷款定价以及利率判断  

Housing Mortgage Loan Pricing and the Determination of Interest Rate

作　　者：陈迪红[1] 樊必武[1] 

机构地区：[1]湖南大学金融学院,湖南长沙410079

出　　处：《系统工程》2010年第6期45-49,共5页Systems Engineering

基　　金：国家社会科学基金资助项目(08BJY159)

摘　　要：住房抵押贷款损失分为非意愿性违约损失和意愿性违约损失,意愿性违约损失包括提前还款违约损失和到期不还违约损失。通过单个因素下计算得到的利率及其权重,可以得到住房抵押贷款的加权利率,而将所有因素及其权重放在B-S公式中得出了单笔贷款的定价利率公式,在一定条件下,定价利率是加权利率的线性函数。将此条件下的贷款政策分布因子参数作为先验信息,运用贝叶斯后验分布公式得到一个合约利率,基于合约利率与定价利率的比率,可以判别合约利率是否合理,理论及实例分析表明当比率接近1时较为合理。Housing mortgage losses can be divided into desired and undesired default loss with the former including prepayment loss and failure to repayment in time.According to the interest rate calculated under single influence factor,this paper gets a directed interest rate with their weights given and obtains a comprehensive rate by putting all factors in a formula similar to B-S model.Furthermore,given that the pricing rate is linear to weighted rate,with the policy distribution parameter as prior information,a contract interest rate is obtained through Bayesian posteriori distribution formula.The ratio of contract interest rate to pricing interest rate can determine whether contract rate is the reasonable or not.Theoretical and empirical analysis indicates that the ratio 1 is relatively ideal.

关 键 词：死亡率模型 定价利率 合约利率 判定因子 

分 类 号：F830[经济管理—金融学]