本文選題：期權定價理論　切入點：住房抵押貸款保險定價　出處：《西南財經大學》2013年碩士論文

【摘要】：由于我國住房政策由傳統(tǒng)福利分配房向住房分配貨幣化的改變,伴隨著城鎮(zhèn)居民生活、經濟水平不斷提高,購房需求也越來越大,居民住房問題成為現(xiàn)今的社會重點問題,住房抵押貸款業(yè)務成為解決這一社會問題的一個方法。隨著住房抵押貸款的增多,商業(yè)銀行面臨著巨大的貸款風險。為了規(guī)避這一風險,保險成為商業(yè)銀行轉移風險的一種既實用而又安全的措施。住房抵押貸款保險制定的關鍵是要確定公平、合理的費率。在回顧采用期權定價方法研究住房抵押貸款定價模型的相關文獻的基礎上,對住房抵押貸款保險定價進行探討。 期權的價值取決于借款人的違約行為,因此本文從借款人的違約風險出發(fā),討論影響違約風險的主要因素,從簡單的一次性還款個體風險模型推導到復雜的分期還款聚合風險模型,并將房屋價格風險分為系統(tǒng)風險和非系統(tǒng)風險,建立了基于期權定價理論基礎上的住房抵押貸款保險定價模型。本文采用蒙特卡羅方法運用MATLAB軟件對模型給予實現(xiàn)。通過對各變量的定性和定量分析,得出各變量對違約概率和平均違約損失的影響。本文在信息不對稱的問題中,考慮到保險公司所承擔的住房抵押貸款保險風險不確定程度較大,而違約損失方差往往用來度量風險的大小,因而在保險定價過程中需要在純保費的基礎上用違約損失方差來度量的“安全附加費”。 在全文研究分析結果的基礎上,為保險公司在住房抵押貸款保險及其定價上提出了注重產品設計的多樣化、定價注意的問題和關注房地產市場發(fā)展情況等意見。并向商業(yè)銀行或貸款機構進行風險管理的兩點應對措施：一是正確制定貸款利率；二是合理制定違約成本。最后,根據本文的分析證明,政府可降低首套房貸的首付比例,并為政府推進住房抵押貸款保險在房貸業(yè)務上發(fā)揮作用提供政策建議。
[Abstract]:Due to the change of housing policy from traditional welfare housing to housing distribution monetization, with the living of urban residents, the economic level is increasing, and the demand for housing purchase is increasing. The housing problem of residents has become a key issue in the society nowadays.Housing mortgage loan business has become a solution to this social problem.With the increase of housing mortgage loans, commercial banks are facing huge loan risks.In order to avoid this risk, insurance has become a practical and safe measure for commercial banks to transfer risks.The key to the development of mortgage insurance is to determine fair and reasonable rates.On the basis of reviewing the relevant literatures on the study of housing mortgage pricing model using option pricing method, this paper discusses the pricing of housing mortgage insurance.The value of the option depends on the borrower's default behavior, so this paper discusses the main factors that affect the default risk from the perspective of the borrower's default risk.From the simple one-off repayment individual risk model to the complex installment repayment aggregate risk model, the housing price risk is divided into systematic risk and non-systematic risk.The pricing model of mortgage insurance based on option pricing theory is established.In this paper, Monte Carlo method is used to implement the model with MATLAB software.Through the qualitative and quantitative analysis of each variable, the influence of each variable on default probability and average default loss is obtained.In the problem of asymmetric information, this paper takes into account that the degree of uncertainty of mortgage insurance risks borne by insurance companies is greater, and the variance of default losses is often used to measure the size of the risks.Therefore, in the process of insurance pricing, the "safety surcharge" should be measured on the basis of pure premium and the variance of default loss.On the basis of the research and analysis of the whole paper, this paper puts forward some suggestions for the insurance companies to pay attention to the diversification of product design, the problems of pricing and the development of the real estate market for the insurance companies on the housing mortgage insurance and its pricing.Two countermeasures for risk management to commercial banks or loan institutions are as follows: one is to set the loan interest rate correctly; the other is to rationally set the default cost.Finally, according to the analysis of this paper, the government can reduce the proportion of the down payment of the first home loan, and provide policy advice for the government to promote the role of housing mortgage insurance in the housing loan business.
【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.45;F299.23

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