| 基于持续期数据的我国住房抵押贷款违约和提前还款风险分析 |
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| 引用本文： | 徐淑一,王宁宁,王美今. 基于持续期数据的我国住房抵押贷款违约和提前还款风险分析[J]. 南方经济, 2009, 0(6): 34-43 |
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| 作者姓名： | 徐淑一 王宁宁 王美今 |
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| 作者单位： | 1. 中山大学岭南学院,广州,510275
2. 暨南大学经济学院统计学系,广州,510632 |
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| 基金项目： | 中山大学青年科研项目的资助 |
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| 摘 要： | 本文利用我国住房抵押贷款持续期数据，估计了住房抵押贷款在整个持续期内的提前还款风险和违约风险的概率，同时研究了各影响因素对住房抵押贷款这两类风险的影响方向。目前在国内文献中尚未见诸有关住房抵押持续期的实证研究，本文的研究能够反映抵押贷款风险的内在时间效应，这是其它统计分析方法无法做到的。本文进一步指出它们在银行的抵押贷款证券化和信贷风险管理中的应用前景。
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| 关 键 词： | 抵押贷款 持续期 提前还贷 违约 |
Empirical Study for Prepay and Default Risk of Our Country's House Mortgage Loan through Duration Data Analysis |
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| Shuyi Xu,Ningning Wang,Meijin Wang. Empirical Study for Prepay and Default Risk of Our Country's House Mortgage Loan through Duration Data Analysis[J]. South China journal of Economy, 2009, 0(6): 34-43 |
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| Authors: | Shuyi Xu Ningning Wang Meijin Wang |
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| Affiliation: | Shuyi Xu, Ningning Wang ,Meijin Wang |
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| Abstract: | In this paper, the prepay and default risk of house mortgage loan is studied by duration data analysis, the influenced factors of prepay and default risk are studied at the same time. The empirical study for house mortgage loan using duration data is blank in our country. Our research can describe the inherent time effect of the duration of mortgage loan risk, which is can't described by other statistical method. Furthermore, the application of this empirical study in the mortgage-backed securities and cred... |
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| Keywords: | Mortagage Loan Duration Data Prepay Default |
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