摘要
固定利率住房抵押贷款的信用风险主要是违约风险,基于理性期权的定价模型往往会低估借款人的违约概率。通过分析违约成本及非理性违约因素,可以确定借款人违约时贷款机构收回的现金流,得到固定利率住房抵押贷款定价的期望值模型,并得出模型的求解方法。
The main credit risk of fixed rate mortgages is default. The pricing model based on option pricing will undervalue the probability of default. By analyzing the default cost and the reasons for default, the cash flow which the commercial banks can get when the borrowers default can be determined, then the model to estimate the expectation value of fixed rate mortgages can be developed.
出处
《财经理论与实践》
CSSCI
北大核心
2008年第6期22-26,共5页
The Theory and Practice of Finance and Economics
基金
湖南省省情与决策咨询研究中心立项课题(0708BZZ4)
关键词
住房抵押贷款
违约概率
期权定价
蒙特卡罗模拟
housing mortgage
probability of default
option pricing
monte carlo simulation
