论我国商业银行的房贷风险

央行的房贷加息最大的受益者恐怕就是商业银行了，由于房地产贷款大多有房地产资产作为抵押，而且迄今为止房地产信贷的违约率非常低，因此商业银行大都把房地产信贷视为优良的贷款品种，并且都在不遗余力地扩大房地产信贷业务。     

Local economic risk factors and the primary and secondary mortgage markets

This paper presents a cross-sectional analysis of the spatial distribution of loans in the primary and secondary mortgage markets. Aggregating loan originations to the MSA level, we examine the proportion of the market served by FHA and conventional lenders. We model the geographic differences in market shares as a function of supply, demand, and economic risk factors. Results indicate that FHA market shares are higher in cities with higher economic risk characteristics. To examine the role of GSE activity, we model the spatial distribution of the disposition of conventional loans. Again, we focus on the impact of local economic risk factors on the proportion of loans purchased by the GSEs, purchased by other financial institutions, or retained by the originating lender. Our results indicate that GSEs purchase rates are fairly insensitive to local economic conditions indicating that they serve the primary market with little spatial variation.     

住房反向抵押贷款与传统抵押贷款的对比分析

住房反向抵押贷款本质是以房屋融通资金,并以此为核心拉动养老、保险、房地产等多项社会活动.将反向抵押贷款和传统的抵押贷款对比分析可以更好的理解两种模式的特点和运作.用同一性分析和差异性分析对两种抵押贷款在基本属性和运作上的进行探讨.而组合性分析则是对两种抵押贷款在计算和操作上的分析.     

The role of neighborhood characteristics in mortgage default risk: Evidence from New York City

Using a rich database of non-prime mortgages from New York City, we find that census tract level neighborhood characteristics are important predictors of default behavior, even after controlling for an extensive set of controls for loan and borrower characteristics. First, default rates increase with the rate of foreclosure notices and the number of lender-owned properties (REOs) in the tract. Second, default rates on home purchase mortgages are higher in census tracts with larger shares of black residents, regardless of the borrower’s own race. We explore possible explanations for this second finding and conclude that it likely reflects differential treatment of black neighborhoods by the mortgage industry in ways that are unobserved in our data.     

Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwan's banking industry

The issue of financial problems among the elderly has garnered the attention of multiple generations. In 2018, Taiwan formally attained an ageing society status. In order to address the financial difficulties elderly people face, an annuity system reform was launched by the Taiwanese government. Reverse mortgage lending, which is performed on the basis of house-for-pension, is an alternate method for enhancing their standard of living and sustaining their financial stability. The elderly applicants often mortgage their properties to financial institutions in order to maintain a steady cash flow for the fulfilment of their daily needs and live their remaining years in the mortgaged properties without vacating. Prior studies on house-for-pension in the Taiwanese context primarily concentrated on institutional implementation analysis but limitedly explored the uncertainty risks banks face when implementing the house-for-pension scheme. First, a literature review on the risks associated with house-for-pension reverse mortgage financing and comprehensive interviews with banking industry professionals were conducted. Subsequently, in the Taiwanese banking sector, assessment criteria for important risk factors in house-for-pension reverse mortgage financing were devised. The decision-making trial and evaluation laboratory (DEMATEL) was utilised to assess the interdependence of the assessment criteria. Next, the DEMATEL-based analytic network process (ANP) or DANP were used to calculate the weights of evaluation criteria. By employing modified VlseKriterijumska Optimizacija I Kompromisno Resenje (VIKOR), a gap analysis was undertaken on the assessment criteria and sub-criteria. The study's findings serve as a guideline for the Taiwanese banking industry in formulating, improving, or amending the risk exposure mitigation measures for reverse mortgage lending.     

Default risk and private student loans: Implications for higher education policies

In recent years, the proportion of students facing a binding constraint on government student loans has grown. This has led to substantially increased use of private loans as a supplementary source of finance for households׳ higher education investment. A critical aspect of the private market for student loans is that loan terms must reflect students׳ risk of default. College investment will therefore differ from a world in which government student loans, whose terms are not sensitive to credit risk, are expanded to no longer bind. Moreover, beyond simply crowding out private lending, expansions of the government student loan program will feed back into default risk on private loans. The goal of this paper is to provide a quantitative assessment of the likely effects of the private market for student loans on college enrollment. We build a model of college investment that reflects uninsured idiosyncratic risk and a well-defined life-cycle that is consistent with observed borrowing and default behavior across family income and college preparedness. We find that higher government borrowing limits increase college investment but lead to more default in the private market for student loans, while tuition subsides increase college investment and reduce default rates in the private market. Consequently, higher limits on government student loans have small negative welfare effects, while tuition subsidies increase aggregate welfare.     

Structural prepayment risk behavior of the underlying mortgages for residential mortgage life insurance in a developing market

Since 1998 all residential mortgages in China have been adjustable rate mortgages (ARMs). However, the borrower’s motivation for prepayment is different from that in the US or other developed mortgage markets. In the US, mortgage insurance plays an imperative role in covering some of the risk typically faced by housing finance institutions. However, China’s residential mortgage life insurance (RMLI) market is in its infancy. It offers the insured mortgagor a life-insurance death benefit, arising from only illness or accident, settling the insured’s outstanding residential mortgage balance. Prepayments of some RMLIs’ underlying mortgages are observed, leading to a premature termination of both the residential mortgage and the insurance commitment to settle the outstanding mortgage balance even though the insured has not yet passed away. Because such prepayments significantly influence the pricing of the RMLI, it is imperative to know more about the prepayment rate of occurrence and the prepayment characteristics of the underlying residential mortgages in terms of observable macro economic factors, loan specific factors and borrower specific characteristics. Hence, this study investigates the prepayment risk behavior of the underlying mortgages for RMLIs, utilizing a pilot study of 1000 Shanghai residential mortgagors who took up RMLIs between January 1999 and December 2003. This study uses the Cox proportional hazard model to investigate RMLI-mortgage prepayment risk behavior. The resultant hazard rate is dependent on four primary factors: combined monthly income of the co-borrowers, growth in the gross domestic product, number of co-borrowers and initial loan-to-value ratio.     

The supply of mortgage lending

This paper estimates the elasticity of supply of mortgage lending and tests the impact of the “availability” of funds on the markets for new housing and mortgage loans. Depending upon whether mortgage relative to total lending or the mortgage, Aaa bond yield differential is taken as the left-hand variable, the supply elasticity is found to be about 1 or about 5. No compelling evidence is found, however, that either federal agency purchases of mortgages or disintermediation has had an impact upon the supply of mortgage loans. The latter is more consistent with a relatively elastic supply of mortgage funds than with segmented mortgage markets. Examination of the determinants of both real house prices and of private residential construction also fails to reveal any significant impact of federal agency purchases or of disintermediation. It would appear, however, that real house prices are highly responsive to interest rates and that the elasticity of supply of new housing is about 5. Fluctuations in new construction would thus appear to be explainable by fluctuations in interest rates.     

Neighborhood effects of concentrated mortgage foreclosures

As the national mortgage crisis has worsened, an increasing number of communities are facing declining housing prices and high rates of foreclosure. Central to the call for government intervention in this crisis is the claim that foreclosures not only hurt those who are losing their homes to foreclosure, but also harm neighbors by reducing the value of nearby properties and in turn, reducing local governments’ tax bases. The extent to which foreclosures do in fact drive down neighboring property values has become a crucial question for policy-makers. In this paper, we use a unique dataset on property sales and foreclosure filings in New York City from 2000 to 2005 to identify the effects of foreclosure starts on housing prices in the surrounding neighborhood. Regression results suggest that above some threshold, proximity to properties in foreclosure is associated with lower sales prices. The magnitude of the price discount increases with the number of properties in foreclosure, but not in a linear relationship.     

The changing sources of new mortgage debt

A much clearer understanding is needed of the forces driving the current upsurge in the mortgage market and of the key factors contributing to the exceptional growth of mortgage indebtedness. It would then be easier to judge whether the widely-expected downswing in mortgage lending will be reasonably limited and gradual, or more pronounced and protracted.
This paper, by Richard Talbot, develops an appropriate analytical framework and model that traces the composition of incremental mortgage borrowing over the period since the mid-1980s. Estimates have been compiled for the various elements of additional borrowing using data from the Survey of Mortgage Lenders and the Bank of England back to 1993, and other statistics on the earlier composition of bank approvals and building society advances.
This analysis of the debt aggregation process suggests that, at the level of the individual household, people simply will be unable, and indeed unwilling, to go on absorbing the relatively large amounts of incremental debt implied by many medium-term forecasts for mortgage lending.     

Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market

The dramatic expansion in subprime mortgage credit fueled a remarkable boom and bust in the US housing market and created a global financial crisis. Even though considerable research examines the housing and mortgage markets during the previous decade, how the expansion in mortgage credit affected the rental market remains unclear; and yet, over 30 percent of all U.S. households reside in the rental market. Our study fills this gap by showing how the multifamily rental market was adversely affected by the development of subprime lending in the single-family market before the advent of the 2007/2008 subprime induced financial crisis. We provide evidence for a fundamentals based linkage by which the effect of an innovation in one market (i.e, the growth in subprime mortgage originations) is propagated through to another market. Using a large database of residential rental lease payment records, our results confirm that the expansion in subprime lending corresponds with an overall decline in the quality of rental payments. Finally, we present evidence showing that the financial performance of multifamily rental properties reflected the increase in rental lease defaults.     

Impairment and negative equity in the Irish mortgage market

Amongst the many housing markets across the OECD presently experiencing difficulties, the Irish case stands out. Between 2004 and 2007, a significant house price bubble emerged in Ireland, while the real economy was enjoying persistently strong growth rates. The sharp decline in house prices post 2007 coupled with the significant increase in unemployment has generated a combination of difficulties for the Irish residential market. To date, much of the analysis and discussion of the Irish market has tended to focus on either the concept of mortgage repayment distress or potential negative equity. By examining the issue of credit default in the Irish mortgage market, we focus on the interaction between delinquency (repayment distress) and solvency (negative equity). Building on earlier work, which used the Survey on Income and Living Conditions (SILC), we marry existing estimates of repayment distress with estimates of negative equity for a representative sample of Irish households. Using copula modelling we then examine the dependence structure across the distributions of mortgage delinquency and solvency for these households. As a result, we are in a position to estimate the probability that a household experiencing repayment distress might also be in negative equity.     

住房抵押贷款证券化中的宏观收益分析

本文对我国政府在住房抵押贷款证券化中的宏观社会收益和成本进行分析和比较,并对政府在制度创新中的地位与作用进行了研究与探讨。     

An anomaly in the pricing of bank non-interest mortgage charges

This paper uses a monopolistically competitive model to study the determinants of bank mortgage charges. The study shows that concentration and the loan-price ratio do not have significant effects on the bank mortgage charges. Significantly, the charges are found to be positively related to the number of banks and bank offices in a given market and inversely related to the market size or population. (JEL L130, G210)     

我国住房抵押贷款证券化中SPV的构建

本文从我国住房抵押贷款证券化中SPV的性质、作用入手,以其核心思想"破产隔离"为线索,通过分析SPV业务范围、构建的影响因素,借鉴SPV构建的国际模式以及结合国内的实际情况,对我国目前的住房抵押贷款证券化中SPV的构建进行了详尽的分析.     

The nature of credit rationing in the United Kingdom mortgage market

This paper addresses the problem of how to estimate market demand functions for finance in the presence of rationing within the context of the U.K. house mortgage market. Two distinct approaches are outlined. The first, and more traditional, focuses on American studies in which non-price terms are assumed to adjust so as, in combination with price, to produce market clearing. In contrast, the approach used in the present study conjectures that non-interest-rate terms are varied so as to discriminate among borrowers, satisfying some but leaving the market uncleared. Empirical tests, using U.K. data, offer some support for this alternative approach. The paper offers some thoughts on credit rationing, and outlines possible avenues for further research into this important and current topic.     

Discrimination in mortgage lending: Evidence from a correspondence experiment

We design and implement an experimental test for differential response by mortgage loan originators (MLOs) to requests for information about loans. Our e-mail correspondence experiment is designed to analyze differential treatment by client race and credit score. Our results show net discrimination by 1.8% of MLOs through non-response. We also find that MLOs offer more details about loans and are more likely to send follow up correspondence to whites. The effect of being African American on MLO response is equivalent to the effect of having a credit score that is 71 points lower.     

深圳房贷"断供"危机质疑

最近,关于深圳出现"断供"危机、银行不良房贷过千亿元的传闻炒得沸沸扬扬,引起了各界的高度关注.为此,深圳银监局专门召开了深圳市房地产贷款情况新闻通气会,表示深圳银行业个人房贷业务目前还处在正常状态,风险可以控制.……     

Accounting in Turkey

Turkey is a developing country in the Middle East, and is attracting an increasing number of foreign investments and joint ventures. However, the Turkish accounting system is not one of the topics that is studied in detail, the language barrier perhaps being the main reason. As the amount of foreign investment and the number of joint ventures increase and the Turkish stock market develops, a new responsibility will fall on accountants to disclose and discuss the current accounting system in Turkey. This paper attempts to fill this gap by describing the current accounting system and state of the profession in Turkey.