Monitoring the Risk of Mortgage Loans Dynamically with Survival Analysis

以存活分析法動態監控房貸風險

葉玫惠(Clover M. Yeh) ； 李存修(Tsun-Siou Lee)

《財務金融學刊》 22卷4期 (2014/12) Pp. 55-76

https://doi.org/10.6545/JFS.2014.22(4).3

摘要

本研究應用存活分析於房貸的動態風險管理，並建立一應用於房貸的存活分析表。存活分析法可估算貸款人在未來各時點發生違約或提前清償的風險，因此對房貸的風險評估與未來現金流的估算極有幫助。應用台灣知名金融機構之房貸資料所做實證研究顯示，與目前普遍運用的邏輯迴歸分析模型相比，存活分析及存活表皆有較好的表現。

關鍵字

存活分析 ； 房貸 ； 存活表 ； 危險比例模型 ； 信用評分系統

並列摘要

This study uses survival analysis to dynamically monitor mortgage loans because it can tell not only if a loan will default or be prepaid within the loan term but also when these events will happen. With survival analysis, financial institutions can make credit granting or risk controlling decisions based on expected profits and losses rather than on default or prepayment probability. Moreover, this study introduces a special credit score system, the survival table, whose user-friendliness simplifies the risk management of mortgage loans. Evidence from Taiwan shows that survival-based methods perform superiorly to traditional logistic models.

並列關鍵字

Survival analysis ； mortgage loan ； survival table ； proportional hazards model ； credit scoring system

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