摘要
Kau、Keenan和Smurov以美国个人住房抵押贷款市场为研究对象,建立了住房抵押贷款强度定价模型(简称KKS模型)。但此模型不尽完善,不能完全适合中国市场。因此,本文从中国个人住房抵押贷款市场的实际出发,改进KKS模型的三个关键因素:折现方法、追偿值计算和利率随机模型,建立了基于强度模型的住房抵押贷款定价模型。为了验证新模型的适用性,利用蒙特卡罗方法,给出了一份10年期、首付50%、本金10万元的住房抵押贷款的价值,分析了房价趋势、首付比例、贷款利率、贷款期限对住房抵押贷款价值的影响。研究结论对我国银行制定合理的住房抵押贷款政策具有重要的借鉴价值。
Kau, Keenan and Smurov research American individual mortgage market and design a mortgage pricing intensity model. But this model isn＇t perfect and doesn＇ t fit for Chinese market. So, according with Chinese individual mortgage market, this paper designs a mortgage for housing pricing model with an intensity approach which improves three key factors of KKS model： discounting method, calculate approach of recovery value and interest rate stochastic model. For validating applicability of new model, this paper calculates the value of a 10000 yuan loan whose term is 10 years and proportion of initial payment is 50% , and analyses influence of house price trend, the proportion of initial payment to principal, loan interest rate and term to mortgage value with Monte Carlo method. Results are very useful to banks in China to draw up or execute mortgage policy.
出处
《预测》
CSSCI
2008年第5期75-80,共6页
Forecasting
基金
国家自然科学基金资助项目(70771018)
教育部人文社科基金资助项目(05JA630005)
教育部新世纪优秀人才支持计划资助项目(2005)
