浮动利率房贷提前还款的损失度量

The Measurement of Commercial Bank's Loss Caused by Prepayment of Mortgage Loan under Floating Interest Rate

住房抵押贷款是银行一项重要业务和资产。随着利率的波动和其他因素的影响,借款人有可能提前还款从而影响银行的收益。准确地度量提前还款给银行带来的损失有助于商业银行更好地管理这类经营风险。在具有均值回复特性的随机市场利率和服从纯跳跃过程的浮动住房贷款利率条件下,以最常见的每月等本金还款方式为基础,根据对利率的预测,使用求期望的办法估算出银行房贷总收益的预期值,然后将该预期值折现到提前还款发生时刻,从而构造出借款人在合同期间提前偿还房贷给银行造成的利息损失度量模型。

The mortgage loan is an important business and asset of commercial banks. Affected by interest rate fluctuation and other factors, the borrower may prepay the mortgage, which makes negative impacts on the bank＇s profits. The accurate measurement of bank＇s loss caused by the prepayment helps commercial bank to manage such operation risk. Under conditions of stochastic discount rate with the mean reversion characteristic and the mortgage interest rate subjected to pure jump process, this paper uses expectation method to estimate bank＇s expected revenue on the basis of equal capital payment per month in different interest rate prediction. Then the paper makes a discount of this expected revenue to the moment of prepayment and constructs a measurement model of commercial bank＇s interest loss caused by borrower＇s prepayment.