利用可回售债券防范抵押贷款的延迟风险研究

A research on keeping away extension risk of mortgage loans by payable bond

延迟风险是抵押贷款的风险因子之一,导致未来现金流和贴现率发生变化。尤其当利率上升时,由借款者延迟付款所引起的延迟风险将迫使金融机构变更其投融资计划。鉴于处罚不能有效制止延迟还款行为,金融机构必须引入一种新的投资约束机制来防范延迟风险。根据债券的可回售条款和抵押贷款的延迟偿还都受利率变化影响的共同特性,可以利用可回售金融债券去匹配抵押贷款。例证验算表明,用于匹配不同延迟偿还率下的计算方法是可行的。

Extension risk is one of the risk factors of amortizable loan which can lead to the future cash flow and discount change.Especially when interest rate rises,extension risk due to the action of delaying loan will force the financial institution to change its plan of investing and financing.In the view of the fact that punishment cannot hold out the action of delaying loans,the financial institution needs to introduce a new investment mechanism to keep away extension risk.Based on the common characteristic that both payable item and delaying action of amortizable loan can be influenced by interest rate,the financial institution can utilize payable financial bond to mortgage amortizable loan.Exemplification shows that the calculating method of matching different delay ratio is feasible.