抵押资产组合下信用违约研究

Research on the Default of Credit under the Mortgage Portfolio

以Merton结构模型为基础,分析了含抵押资产组合的信用违约问题.研究表明,违约概率为非正态分布,它与门限值有非线性正向变动关系,与抵押资产组合值有非线性反向变动关系.到期期限相同,有资产抵押时违约概率小于无抵押时的违约概率.抵押资产组合初值增大时违约概率会变小,而资产相关性增大时违约概率会变大.标的和抵押资产的价值波动较小时,违约概率也较小,反之亦然.

Based on the structural framework developed by Merton, we discuss default of credit under the mortgage portfolio. We fmd that the probability of default is non-normal distribution meanwhile it has a positive nonlinear relationship with threshold and a reverse nonlinear relationship with the mortgage portfolio. If with the same maturity, the probability of default will be smaller for credit with mortgage than credit unsecured. With the increased initial value of mortgage portfolio the probability of default will decrease, while with the increased correlation of asset the probability of default will increase. The smaller the fluctuation underlying assets and mortgage assets is, the smaller the probability of default is, and vice versa.