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个人住房抵押贷款违约风险跃迁概率研究
引用本文:孙冰.个人住房抵押贷款违约风险跃迁概率研究[J].金融论坛,2009(4).
作者姓名:孙冰
作者单位:中国建设银行上海市分行;
摘    要:巴塞尔新资本协议提出针对个人住房抵押贷款可采用内部评级高级法评估其风险,在满足某些最低条件和披露要求的前提下,商业银行可根据自己对个人住房抵押贷款违约概率、违约损失率、违约风险暴露和期限等要素的估计值确定相应的资本要求。本文提出将风险跃迁概率引入到对个人住房抵押贷款提前还款-违约概率的定量估计中。借助逻辑斯特模型,本文将这一概念实际运用到对个人住房抵押贷款微观数据的分析当中,得到的实证研究结论包括借款人历史还款状态可以作为表征其未来还款状态的重要指标,贷龄与借款人还款状态的跃迁概率显著相关等。

关 键 词:个人住房抵押贷款  提前还款风险  违约风险  跃迁概率  

Research on the Prepayment-default Transition Probability of the Residential Mortgage Loans
SUN Bing.Research on the Prepayment-default Transition Probability of the Residential Mortgage Loans[J].Finance Forum,2009(4).
Authors:SUN Bing
Abstract:In the New Basel Capital Accord, the Advanced Internal Ratings-Based(IRB) Approach has been recommended to measure credit risks of the residential mortgage loans.When satisfying some basic conditions and exposure requirements, commercial banks can decide the required capitals according to their own evaluation on the probability of default, the loss given default, the exposure at default and the terms of the residential mortgage loans.The paper proposes introducing the risk transition probability into the ev...
Keywords:residential mortgage loan  prepayment risk  default risk  transition probability  
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