案例,spss,数据分析

随机利率下住房抵押贷款的风险管理


全文字数:7000字左右  原创时间:<=2022年

【内容摘要】

随机利率下住房抵押贷款的风险管理


自1994年《国务院关于深化城镇住房制度改革的决定》发布实施,我国住房制度改革全面开始,经历了几十年的发展住房金融已经成为经济发展中的重要部分。我国房贷自兴起以来,慢慢成为银行资产业务的主要来源之一。发展必然伴随风险,利率是宏观经济中不可忽略的一部分,它的变化必然影响经济的变化。面对着我国利率市场化的推进,利率风险越来越凸显出来。本文以商业银行为背景,分析讨论商业银行资产业务中的一部分,即住房抵押贷款在随机利率下的风险,本文介绍了5种国际上常用的度量利率风险的方法,对它们之间的有效性进行总结与比较。且主要针对期权调整利差这个更为精准的方法进行讨论,选用利率期限结构中的CIR模型利用其他学者已经研究得到的数据给出在实际操作中的具体做法,及其在实际运用中存在的问题,最后通过结合我国实际经济状况给出风险管理的方法。

 关键词:住房抵押贷款;利率风险;风险度量
 
Abstract

Since 1994, "the State Council on deepening the reform of the urban housing system" promulgated and implemented, the reform of the housing system began, experienced an economic development an important part of the development of housing finance has been for decades. Since the rise of the mortgage, and slowly become a major source of bank assets business. Rate performance is value for money, and, as one of the important economic variables affecting the macro-economic operation. The face of China's interest rate marketization of interest rate risk more and more prominent. In this paper, the background of the commercial banks, commercial banks were discussed as part of the business, ie mortgage interest rate risk at random, this article describes common methods of measurement of interest rate risk on five kinds of international validity between them summarized and compared. And mainly discussed the option-adjusted spread for a more accurate method, the choice of the term structure of CIR model uses other scholars have studied the data obtained are given in the actual operation of the specific approach, and its presence in the practical application of problem, and finally risk management approach is given through a combination of China's actual economic conditions.

Key words:Mortgage;  Interest rate risk;  Risk measure

 

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