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我国住房反向抵押贷款影响因素分析及定价研究 总被引:1,自引:0,他引:1
本文以老年人反向抵押贷款定价为对象,综合运用随机波动模型、蒙特卡洛模拟及灰色预测等方法,构建基于房价、利率、寿险三因素的反向抵押贷款定价模型。以北京市为例,分析和探讨基于三因素的定价模型应用问题。研究结果表明,老年人申请反向抵押贷款所获得的金额高于该城镇居民人均可支配收入水平,并且年龄越大者贷款所获得的额度越多。 相似文献
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本章由金融危机的背景引出了住房抵押贷款证券化的定义、产生和发展等相关知识。由于住房抵押支持证券合理的定价是住房抵押贷款证券化实际操作中的重点和难点,本文通过一般微分方程法对住房抵押贷款支持证券进行了定价。最后,对我国住房抵押贷款证券化的定价提出建议。 相似文献
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反向抵押贷款产品的定价问题是关乎"以房养老"这一新型模式能否在中国推行的关键。针对长期以来仅围绕风险和定价模型进行研究的情况,本文阐述了如何在风险中性条件下建立反向抵押贷款风险定价体系;并详细介绍了运用蒙特卡洛模拟法对模型进行仿真实验的原理和步骤,为反向抵押贷款的深入研究提供了方法和思路。 相似文献
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住房反向抵押贷款在国外是一个成熟的金融产品,在我国也将有着广阔的市场前景和社会需求。因此,对住房反向抵押贷款的研究,在理论和实践上都有重要意义。但是在我国发展住房反向抵押贷款还是面临着一定的风险,发现及防范该风险十分必要。 相似文献
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我国已经老龄化社会,养老问题日益突出。关于反向抵押贷款这种以房养老的新模式的讨论日渐升温,本文在对反向抵押贷款进行风险分析的基础上,提出了两个定价模型,具有一定的参考意义。 相似文献
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住房反向抵押贷款是一种以房养老的模式,这种模式在国外经过20多年的发展,已经非常成熟。本文从我国养老的现状出发,阐述了住房反向抵押贷款的含义,分析政府和金融机构开办住房反向抵押贷款的优劣势,最终提出我国"以房养老"的新模式。 相似文献
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随着我国房地产市场快速发展,住房自有率不断提高,盘活住房实现"以房养老"为社会养老问题提供了创新思路,反向抵押贷款业务是最典型的"以房养老"模式,其资金流向与普通抵押贷款相逆,这种特性决定了金融机构在开办该业务时可能面临资金流动性风险.本文提出在我国发展反向抵押贷款的初期阶段可以引入廉租住房作为反向抵押贷款运行过程中住房变现渠道的构想,以解决业务开展中抵押住房的变现难题,应对其引起的流动性风险. 相似文献
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我国住房抵押贷款借款人提前还款行为分析 总被引:5,自引:0,他引:5
住房抵押贷款中借款人的提前还款行为向来是金融机构及MBS投资者所关注的焦点,提前还款行为之所以广受关注,是因为它直接影响住房抵押贷款现金流的变化,从而改变着MBS的价值。因此,构建我国借款人提前还款分析模型,为以后的MBS定价研究奠定基础。 相似文献
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Reverse mortgages are increasingly seen as an alternative source of retirement income among Koreans. All reverse mortgage loans in Korea are sold with a non-recourse protection, limiting the borrowers' exposure to house price appreciation risk. This paper performs risk-neutral valuation for the non-recourse protection in the Korean reverse mortgage market. Specifically, we adopt a multivariate DCC-GARCH model that incorporates different forms of correlations between the economic variables. Risk-neutralization is accomplished using the minimum relative entropy method. Our valuation results reveal several limitations of the fee structure currently used by reverse mortgage providers. Recommendations to improve the fee structure are provided. 相似文献
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杨文捷 《湖北商业高等专科学校学报》2008,(4):58-63
随着美国住房价格逐渐回落,利率不断上升,次贷的借款人越来越难以按期偿付贷款,导致次贷及相关的证券投资产品损失严重,一些贷款机构、投资银行、对冲基金纷纷出现巨额亏损,甚至倒闭,由房价引发次按贷危机的爆发。次按贷危机暴露出评级机构对结构性金融产品信用评估体制上的缺陷和中间人的道德风险严重。次按贷危机对全球各种金融产品价格产生很大的冲击.并从各个方面都对全球经济产生了深远的影响。 相似文献
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James A Wilcox 《Business Economics》2015,50(4):178-190
We built a home purchase sentiment index (HPSI) with consumers’ responses to questions about home buying and selling conditions, income gains and job concerns, and house price and mortgage rate expectations. The HPSI can help forecast mortgage originations and house prices, sales, and starts. Forecasting horse races during 2012–14 show the HPSI handily outperformed other sentiment indices. We show differences in the HPSI by income and by age groups. We also suggest other aspects of housing where survey-based indicators may help, such as demand by millennials or seniors, home owners’ moving, renters’ intentions, and mortgage refinancing, delinquency, or default rates. 相似文献
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James A Wilcox 《Business Economics》2009,44(4):189-200
Lowering of underwriting standards may have contributed much to the unprecedented recent rise and subsequent fall of mortgage volumes and house prices. Conventional data do not satisfactorily measure aggregate underwriting standards over the past decade: the easing and then tightening of underwriting, inside and especially outside of banks, was likely much more extensive than they indicate. Given mortgage market developments since the mid-1990s, the method of principal components produces a superior indicator of mortgage underwriting standards. We show that the resulting indicator better fits the variation over time in the laxity and tightness of underwriting. Based on a vector auto-regression, we then show how conditions affected underwriting standards. The results also show that our new indicator of underwriting helps account for the behavior of mortgage volumes, house prices, and gross domestic product during the recent boom in mortgage and housing markets. 相似文献
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美国住房反抵押贷款及引入我国可行性评析 总被引:1,自引:0,他引:1
住房反抵押贷款是重要金融创新,在发达国家变得越来越流行。它是居民以自有产权作为抵押,定期向金融机构取得的主要用于养老费用的贷款。反抵押贷款提高了住房的流动性,对提高老人生活质量有积极作用。从美国反抵押贷款发展的特点、存在问题来看,反抵押贷款业务在我国有一定的需求潜力。同时新业务在我国的市场必须正确定位,才能将潜在的需求转化为现实的市场。 相似文献
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我国商业银行个人住房抵押贷款风险分析——美国次贷危机对我国的启示 总被引:1,自引:0,他引:1
当中国的个人贷款发展如火如荼的时候,美国的次级债市场却危机四伏,并蔓延开来。观察美国次级贷款危机,对比一下中国的住房抵押贷款市场,有很多值得吸取的教训和值得借鉴的经验,加强对个人住房抵押贷款风险的防范十分必要。当前的主要任务是积累和完善数据资源,建立和提高个人住房抵押贷款风险管理的定量化分析技术水平,以便定量评估具有中国持征的个人住房抵押贷款的风险度。此外,还要强化对个人住房抵押贷款风险管理的政策支持,并将住房从完全市场化回归民生本质。 相似文献
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个人住房抵押贷款的风险管理 总被引:3,自引:0,他引:3
个人住房抵押贷款作为一个新生事物 ,在我国开展的时间不长 ,全面推广此项业务的进展不平衡 ,在制度建设方面也还有许多不完善的地方 ,因此迫切需要进行个人住房抵押贷款风险管理的探讨。在全面分析个人住房抵押贷款风险的基础上 ,提出个人住房抵押贷款风险管理的相应对策。 相似文献
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This paper develops a novel, general derivative pricing model which introduces a liquidity risk factor. The model variants we outline offer a sufficient degree of flexibility so as to enable the valuation of various types of derivative classes including futures, American options, and mortgage backed security options, whereas existing derivative models can only price liquidity risk in European derivatives. We validate the model with oil and gold futures data and compare it to a classical benchmark model void of any liquidity risk. We find that our model is significantly more accurate than the classical model for pricing both oil and gold contracts. 相似文献