基于期权定价理论下的住房抵押贷款保险定价模型

发布时间：2018-04-10 01:19

本文选题：期权定价理论　切入点：住房抵押贷款保险定价　出处：《西南财经大学》2013年硕士论文

【摘要】：由于我国住房政策由传统福利分配房向住房分配货币化的改变,伴随着城镇居民生活、经济水平不断提高,购房需求也越来越大,居民住房问题成为现今的社会重点问题,住房抵押贷款业务成为解决这一社会问题的一个方法。随着住房抵押贷款的增多,商业银行面临着巨大的贷款风险。为了规避这一风险,保险成为商业银行转移风险的一种既实用而又安全的措施。住房抵押贷款保险制定的关键是要确定公平、合理的费率。在回顾采用期权定价方法研究住房抵押贷款定价模型的相关文献的基础上,对住房抵押贷款保险定价进行探讨。期权的价值取决于借款人的违约行为,因此本文从借款人的违约风险出发,讨论影响违约风险的主要因素,从简单的一次性还款个体风险模型推导到复杂的分期还款聚合风险模型,并将房屋价格风险分为系统风险和非系统风险,建立了基于期权定价理论基础上的住房抵押贷款保险定价模型。本文采用蒙特卡罗方法运用MATLAB软件对模型给予实现。通过对各变量的定性和定量分析,得出各变量对违约概率和平均违约损失的影响。本文在信息不对称的问题中,考虑到保险公司所承担的住房抵押贷款保险风险不确定程度较大,而违约损失方差往往用来度量风险的大小,因而在保险定价过程中需要在纯保费的基础上用违约损失方差来度量的“安全附加费”。在全文研究分析结果的基础上,为保险公司在住房抵押贷款保险及其定价上提出了注重产品设计的多样化、定价注意的问题和关注房地产市场发展情况等意见。并向商业银行或贷款机构进行风险管理的两点应对措施：一是正确制定贷款利率；二是合理制定违约成本。最后,根据本文的分析证明,政府可降低首套房贷的首付比例,并为政府推进住房抵押贷款保险在房贷业务上发挥作用提供政策建议。
[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.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45;F299.23

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