摘要
本文采用最小二乘回归蒙特卡洛模拟对固定利率住房抵押贷款进行定价研究。模型结合当前我国住房抵押贷款合同的具体条款和提前偿还特征,分析了住房抵押贷款的违约期权风险和违约概率,运用无风险套利原理得到住房抵押贷款的市场公允利率。结果表明,该模型可以为商业银行的房贷利率定价提供参考依据。
This paper presents a numerical procedure to price fixed-rate mortgage loans using least square Monte Carlo simulation. Given the pattern of mortgage prepayment rates, we calculate the value of mortgage default option. The nonarbitrage theory is then applied to price mortgage contract rates. The results match with the empirical data well.
出处
《预测》
CSSCI
2008年第3期50-54,共5页
Forecasting
