| 住房贷款违约风险定量分析初探 |
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| 引用本文： | 杨星,麦元勋.住房贷款违约风险定量分析初探[J].中央财政金融学院学报,2003(5):38-42. |
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| 作者姓名： | 杨星 麦元勋 |
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| 作者单位： | 暨南大学经济学院，广州510632 |
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| 摘 要： | 本首先剖析了影响住房贷款违约风险的主要因素，然后引入Merton的结构化模型来分析住房贷款在等额偿还方式下违约风险的度量问题，并从横向和纵向两个角度，通过模拟计算得出房价波动率和无风险利率对住房贷款的违约概率、预期损失和违约风险溢价的影响规律以及这三个指标在贷款期内的变化规律。
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| 关 键 词： | 住房贷款 违约风险 定量模型 违约概率 预期损失 违约风险溢价 |
| 文章编号： | 1000-1549(2003)05-0038-05 |
Valuing Credit Risk in Residential Mortgage Loans |
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| YANG Xing MAI Yuan-xun.Valuing Credit Risk in Residential Mortgage Loans[J].Journal of Central University of Finance & Economics,2003(5):38-42. |
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| Authors: | YANG Xing MAI Yuan-xun |
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| Institution: | YANG Xing MAI Yuan-xun |
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| Abstract: | Based on Merton's Structural Model, this paper estimates the default probability, expected loss and the default spread of the residential mortgage loans affected by the volatility of the house's price, risk-free interest rate and the three indices' trends during the maturity. |
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| Keywords: | Residential mortgage loans Default risk Pricing model |
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