美国金融危机初始因素的敏感性分析——基于KMV模型

The Sensitivity and Mechanism Analysis on the Initial Factor in the Financial Crisis in the United States Based on KMV model

利用住房抵押贷款的基本定价模型及美国金融危机时期各相关变量的实际数据,对美国金融危机中的房价、房价波动率及利率三个直接初始因素进行敏感性作用力度弹性分析,探讨了房价、房价波动率及利率三个直接初始因素对住房抵押贷款价值与信用风险的敏感性与作用机理。

This article makes use of the basic mortgage pricing model and the actual data of the relevant variables during the U.S.financial crisis,and discusses the sensitivity and mechanism of the price,price volatility and interest rate factors on its value and credit risk.