本文關(guān)鍵詞：基于生存分析法的住房抵押貸款違約風(fēng)險影響因素分析　出處：《湖南大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 生存分析 抵押貸款 違約風(fēng)險 Cox模型 競爭風(fēng)險

【摘要】：美國次貸危機(jī)發(fā)端于銀行次級住房按揭貸款爆發(fā)高違約率,如果銀行可以對該類貸款的違約概率做出準(zhǔn)確預(yù)測,則能使危機(jī)爆發(fā)的可能性大大降低。我國的商業(yè)銀行現(xiàn)今存在大量的住房抵押貸款,如何有效識別和度量其違約風(fēng)險從而防止此類危機(jī)的爆發(fā),對我國商業(yè)銀行而言是一個重要挑戰(zhàn)。本文旨在為我國商業(yè)銀行住房抵押貸款違約概率的測算提供一種有效的方法。傳統(tǒng)的簡約模型和現(xiàn)代結(jié)構(gòu)模型都能一定程度測算住房抵押貸款違約概率,然而由于住房抵押貸款期限較長,觀察期內(nèi)結(jié)束的貸款樣本較小,而以上兩種方法都直接刪除了未完成貸款的樣本,這就會導(dǎo)致樣本量過少以及信息缺失。生存分析方法最大的優(yōu)點在于考慮了刪失數(shù)據(jù),提高了模型測算的準(zhǔn)確度。本文回顧了住房抵押貸款風(fēng)險及其影響因素和生存分析方法的基本理論,并基于Cox模型,從借款人特征、貸款特征、房屋特征三個維度對住房抵押貸款違約風(fēng)險的影響因素進(jìn)行了計量分析,模型擬合度較好,計量結(jié)果較為顯著,最終得出月還款額占月收入比、學(xué)歷水平、婚姻狀況、利率、首付比例、月還款額、貸款期限都對住房抵押貸款違約風(fēng)險有顯著影響,其中月還款額占月收入比的影響最大。同時,本文對提前還款的樣本進(jìn)行了分析,得出了借款人性別、學(xué)歷水平、利率、房屋面積對借款人是否會提前還款影響較大的結(jié)論。本文運用競爭風(fēng)險模型分析了違約、提前還款和正常還款三者之間的競爭風(fēng)險,得出違約與提前還款以及正常還款的影響因素不同,因此在測度住房抵押貸款違約概率時,將提前還款和正常還款作為刪失數(shù)據(jù)是適宜的。而提前還款和正常還款之間則存在競爭風(fēng)險,對正常還款和提前還款而言,學(xué)歷水平、月還款額、月還款額占收入比、貸款期限、房屋價值以及首付比例這幾個影響因素的系數(shù)有非常顯著的差別。最后本文根據(jù)實證結(jié)果給出了針對性的政策建議。
[Abstract]:The US subprime mortgage crisis started from the high default rate of the secondary housing mortgage loan of banks. If banks can accurately predict the default probability of such loans, the possibility of the outbreak of the crisis will be greatly reduced. There are lots of housing mortgage loans in China's commercial banks. How to effectively identify and measure their default risk and prevent such crises is an important challenge for Chinese commercial banks. The purpose of this paper is to provide an effective method for calculating the default probability of housing mortgage loan in China's commercial banks. A simple model of modern and traditional structure model can be a certain degree of probability of default estimates of housing mortgage loans, but due to the longer mortgage period, the end of the observation period of the loan of a small sample, and the above two methods are directly delete the unfinished loan samples, which will lead to small sample size and lack of information. The greatest advantage of the survival analysis method is that the censored data is considered, and the accuracy of the model calculation is improved. This paper reviews the housing mortgage loan risk and its influence factors and basic theory of survival analysis method, and based on the Cox model, the quantitative analysis of impact factors from three dimensions of the borrower characteristics, loan characteristics, characteristics of the housing mortgage default risk, model better fit, the measurement result is more significant, the final monthly payments total monthly income ratio, education level, marital status, interest rates, the proportion of down payment, monthly payments, loans for housing mortgage loan default risk has a significant impact, the monthly repayment amount of monthly income than the maximum. At the same time, this paper analyzes the sample of early repayment, and concludes that borrowers' gender, education level, interest rate and housing area have great influence on whether the borrower will make early repayment. This paper analyzes between default, prepayment and normal repayment three competing risk using competing risks model, factors affecting the default and prepayment and normal repayment, so the measure of housing mortgage loan default probability, the repayment and the normal repayment as censored data is appropriate. Early repayment and repayment is between the normal competition risk, the normal repayment and repayment, there were significant differences in the coefficient of education level, monthly payment, the monthly repayment amount of income ratio, loan period, the value of housing Shoufu ratio and the several influence factors. Finally, this paper gives the pertinent policy suggestions according to the empirical results.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.479

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1 曹曉燕;完善我國住房抵押貸款制度的法律思考[J];理論導(dǎo)刊;2000年10期

2 ;什么是住房抵押貸款券化[J];w攣胖蕓，

本文編號：1342566