国外住房抵押贷款提前偿还模型述评被引量：3

A Review on Foreign Pre-repayment Models of Home Mortgage

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摘要提前偿还是住房抵押贷款证券化过程中最大的不确定因素之一。国外住房抵押贷款提前偿还模型经历了从经验数据到计量模型的过程,逐渐由粗糙走向严谨。经过三十多年的发展,国外对住房抵押贷款提前偿还的研究已逐步走向成熟。本文通过对国外住房抵押贷款提前偿还的经验模型、期权模型以及计量模型的研究,以期对我国住房抵押贷款证券化提供有益的借鉴。 Pre-repayment is one of the most uncertain factors in the securitization of home mortgage. Undergoing a process from experienced data to econometric model, the foreign pre-repayment model of home mortgage has developed gradually from coarseness to preciseness. After developing for more than thirty years, the studies on foreign pre-repayment models of home mortgage have gradually become matured. This paper mainly discusses the experienced model, option model and econometric model of foreign pre-repayment of home mortgage in order to provide some useful references to Chinese securitization of home mortgage.

作者王会俭

机构地区中国企业报

出处《北京化工大学学报（社会科学版）》 2006年第4期24-28,共5页 Journal of Beijing University of Chemical Technology(Social Sciences Edition)

关键词住房抵押贷款提前偿还期权比例危险函数 home mortgage pre-repayment option proportional hazard function

分类号 F830.589 [经济管理—金融学]

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