抵押贷款提前偿付率的非参数估计  

Estimating mortgage prepayments by a non-parametric approach

作　　者：程艳琴[1] 韩文秀[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《天津理工学院学报》2003年第4期18-20,共3页Journal of Tianjin Institute of Technology

基　　金：国家自然科学基金资助项目(79970043)

摘　　要：建立住房抵押贷款提前偿付模型,采用一种叫做普遍添加模型的非参数估计方法对抵押贷款提前偿付率进行估计,研究发现提前偿付率与抵押贷款债龄、抵押贷款息票率与现行利率的比率以及预期的非预期的歇火现象具有高度非线性的关系.This paper estimates a prepayment model using a non-parametric technique called Generalized Additive Model (GAM) estimation. We find the relation between prepayment rates and variables such as age of the mortgage, ratio of the mortgage coupon rate and prevailing interest rates and expected and unexpected burnouts are highly non-linear.

关 键 词：住房抵押贷款 提前偿付率 非参数估计 总似然率函数 提前偿付模型 

分 类 号：F830.572[经济管理—金融学] F224.0