个人住房抵押贷款提前还款风险因素实证研究

Empirical Study on Prepayment Risk Factors of Individual Housing Mortgage Loan

以个人住房抵押贷款的微观数据为基础,运用比例风险模型,探讨影响个人住房抵押贷款提前还款风险的显著因素.针对提前还款买权,引入了一种新定义的买权价值.实证研究结果不仅表明新定义的买权价值与提前还款风险显著相关,而且还得到了与国外同类研究不完全相同的结论,例如借款人收入与提前还款风险显著负相关,借款人年龄与提前还款风险非显著相关等.通过对显著因素的分析,提出借款人保守的负债消费观念、自有资金没有更好的投资渠道、对住宅价格预期的降低以及抵押住宅的出售是引发我国提前还款风险的可能原因.

Based on the micro-data of the individual housing mortgage loan, the paper employs a proportional hazard model to explore the prepayment risk factors. According to the prepayment option, the paper defines a new call option value. The empirical results not only show that the newly defined call option value is significantly correlated with the prepayment risk, but also gain some conclusions different from those of overseas kindred studies. The paper discloses the significant negative correlation between the borrowers＇ income and the prepayment risk, and the insignificant correlation between the borrowers＇ age and the prepayment risk. Based on an analysis of the significant risk factors, the paper points out that the borrowers＇ conservative concept of housing credit consumption, their lack of recommendable channels for self-fund investment, and their expectation for a lower house price as well as the sales of collateral houses are the possible causes of the prepayment risk in China market.