基于B-K模型的住房反向抵押贷款定价模型

发布时间：2018-07-06 18:00

本文选题：住房反向抵押贷款 + B-K模型　；参考：《华东师范大学》2013年硕士论文

【摘要】：进入21世纪以来我国人口老龄化问题日趋严重,以上海、北京等一线大城市为甚。严重的老龄化形成了越来越多的”四二一”式家庭-一对夫妇将需要赡养四个老人和一个孩子,传统的养儿防老理念遇到了子女有心赡养却力不从心的尴尬局面。于此同时,政府所面临的社保基金缺口也在越来越大,所以完全依靠政府来养老也不切实际。加之近些年来通货膨胀和物价上涨的影响,造成了老年人积蓄购买力的严重下降。综上看来,传统的三种养老模式-”养儿防老”、”政府养老”、”票子养老”已经不能满足人口快速老龄化带来的养老需要,亟待新的养老模式来缓解当前所面临的养老问题。住房反向抵押贷款是一项全新的业务,主要针对那些拥有房产却是现金上穷人的老年人。此项业务很好的解决了这部分老年人的养老问题。这种全新的养老理念最早来源于400多年前的欧洲荷兰,目前在西方发达国家比较流行,其中具有代表性的是美国的住房反向抵押贷款模式。住房反向抵押贷款的具体涵义是指房屋产权所有者将房产抵押给特定的贷款机构进而取得一笔现金收入,这笔现金可以是一次性给付,按年金的形式给付或者其他双方商定的方式给付,但是借款人可以在房屋中居住直到死亡或者搬出房屋。这笔现金收入是房屋未来剩余价值的贴现。一种金融产品能否在市场上得到广泛推广,除了满足消费者的需要外,合理的定价也至关重要。由于住房反向抵押贷款涉及面非常广,操作非常复杂,在构建定价模型时需要考虑到的问题也非常之多。本文结合上海市的老龄化实际情况阐述了开办住房反向抵押贷款的可行性并介绍了国外成功开办此项业务的经验。从利率波动的角度出发,构建了一个基于B-K利率二叉树的住房反向抵押贷款模型,并且在定价模型中考虑借款人提前还款的情况。相应的给出了固定利率下和二叉树利率模型下的一次性趸领,终身生存年金的支付公式和具有赎回权贷款的赎回权算法。最后总结了全文所做的工作并提出文章可以深化研究之处。
[Abstract]:The aging problem of China's population has become more and more serious since the beginning of the 21st century, especially in Shanghai, Beijing and other major cities. A growing number of "four-two-one" families-a couple will need to support four elderly people and one child-the traditional concept of child-rearing has encountered an awkward situation in which children are willing to support themselves but are unable to do so. At the same time, the government is facing a growing gap in social security funds, so it is impractical to rely entirely on the government for the aged. The effects of inflation and rising prices in recent years have led to a severe decline in the purchasing power of the elderly. To sum up, the traditional three types of old-age support models-"raising children and preventing old age", "government pension" and "vote for the aged" can no longer meet the needs of the aged brought about by the rapid aging of the population. A new pension model is urgently needed to alleviate the current pension problems. Reverse home mortgages are a new business for the elderly, who own property but are poor in cash. This business is a good solution to this part of the elderly pension problem. This new concept of the aged originated from the Netherlands and Europe more than 400 years ago. It is popular in the western developed countries, and the representative of which is the reverse mortgage model of the United States. The specific meaning of the reverse mortgage is that the owner of the house mortgage the property to a particular lending institution and then obtains a cash income, which can be a one-off payment. Payments are made in the form of an annuity or otherwise agreed upon by both parties, but the borrower may live in the house until he dies or moves out of the house. This cash income is a discount to the future surplus value of the house. Whether a financial product can be widely promoted in the market, in addition to meeting the needs of consumers, reasonable pricing is also crucial. Because of the wide range and complex operation of the reverse mortgage, there are many problems to be considered when constructing the pricing model. Based on the aging situation in Shanghai, this paper expounds the feasibility of setting up housing reverse mortgage loan and introduces the experience of foreign countries in successfully starting this business. From the angle of interest rate fluctuation, this paper constructs a housing reverse mortgage loan model based on B-K interest rate binary tree, and considers the case of borrowers' prepayment in the pricing model. In this paper, we give the one-off payoff formula, lifetime annuity payment formula and redemption algorithm with redeemable loan under fixed interest rate and binomial tree interest rate model. Finally, the paper summarizes the work done and points out that the article can deepen the research.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.4;F299.23

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