违约风险下银行住房抵押贷款预期回收率模型研究
首发时间:2009-09-21
摘要:住房按揭是商业银行贷款的主要组成部分,但由于房价的波动性下跌,容易造成借款者违约,从而使银行遭受损失。本论文主要研究在违约风险条件下住房抵押贷款的预期回收率。众所周知,住房价值影响违约事件的发生,我们基于结构模型框架研究预期银行回收率。并且用数值方法分别分析了在贷款期限内不同时刻违约时的回收率,和不同贷款期限、违约成本、贷款额对预期回收率的影响。
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The Expected Recovery Rate Model Of Housing Mortgage Under The Risk Of Default
Abstract:Housing mortgage loans is the main loans of commercial banks. However, due to the house prices volatility plummeting, easily leads the borrower to default, so that the bank suffers huge losses. Our paper studies the excepted recovery rate model of housing mortgage under the risk of default. As it is known, the housing value impact on default event, we study the bank’s excepted recovery rate based on the framework of structure models. We also use numerical methods to analyze how the different loan time of maturity, default cost, amount of loans impact the recovery rate, and obtain the recovery rate when the lender defaults at different time.
Keywords: default risk expect recovery rate default cost structure models
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No.3532536093125351****
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违约风险下银行住房抵押贷款预期回收率模型研究
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