遺傳規畫決策樹模型於房貸提前償還之風險管理

Genetic Programming Decision Trees in the Risk Management of Mortgage Loan Prepayment

李沃牆(Wo-Chiang Lee) ； 聶建中(Chien-Chung Nieh)

《住宅學報》 18卷1期 (2009/06) Pp. 63-87

https://doi.org/10.6375/JHS.200906.0063

摘要

本文應用無母數的GP-DT模型於房貸提前償還的風險管理，並與文獻上常用的Logit模型比較。實證結果顯示，無母數的GP-DT模型之整體平均正確率均高於Logit模型；而考慮不同的切割值時，Logit模型無論在樣本內外均無一致性，GP-DT模型則呈現一致性的結果，其中以GP-DT500的整體平均正確率最佳。此外，演化代數愈高的GP-DT模型亦有較佳的評估績效。透過誤判成本觀察，我們亦發現，不同的GP-DT模型仍一致性地優於Logit模型。而除Logit-3外，當成本率增加時，各模型的誤判成本卻降低了，其中以GP-DT 500-1、GP-DT 500-2最佳。我們應用敏感性分析來瞭解各特徵變數對提前償還的影響程度，其重要性依次為授信用途、擔保品座落縣市、職業、貸款契約利率、性別、年齡、貸款金額、屋齡、貸款年限。最後，本文亦提出房貸提前償還的風險管理系統，可做為實務上的參考。

關鍵字

提前償還 ； 遺傳規畫決策樹模型 ； 風險管理 ； 成本率 ； 誤判成本

並列摘要

This paper applies a nonparametric GP-DT model to the risk management of mortgage loan prepayment. While previous empirical studies used the Logit model as a benchmark, the results of this study show that GP-DT models have better accuracy on average than Logit models. When considering different cut-off values, the Logit model is not consistent either in sample or out of sample. However, the GP-DT models present consistent conclusions. The GPDT 500 has a higher overall average accuracy. In addition, the higher the number of generations, the better the GP-DT model’s performance. Furthermore, the GP-DT model is also consistently superior to the Logit model in terms of misclassification costs. When the ratio costs increase, the misclassification costs also decrease in most models, except the Logit-3. Among the GP-DT models, the GP-DT 500-1 and GP-DT 500-2 models offer the best performance. Using sensitivity analysis, this study also examines the influence of the key variables on prepayment. In order of importance, these variables include the loan purpose, location, type of occupation, loan interest rate, sex, age, the loan amount, year of housing, and loan period. Finally, this paper also proposes a practical risk management system for mortgage loans for reference.

並列關鍵字

prepayment ； GP-DT ； risk management ； ratio cost ； misclassification cost

參考文獻

陳建勝、林明宏(2003)。壽險保單早期失效之預測。風險管理學報。5(3)，341-361。

劉展宏、張金鶚(2001)。購屋貸款提前清償行為之研究。住宅學報。10(1)，29-49。

楊顯爵、王昭文、劉君德(2006)。房屋修繕貸款群組的提前清償率比較－指數迴歸法。臺灣金融財務季刊。7(3)，1-33。

紀麗秋(2002)。出口貿易信用風險模型之研究－以亞太地區為例。台灣金融財務季刊。3(1)，81-116。

Abrahams, S. W.(1997).The New View in Mortgage Prepayments: Insight from Analysis at the Loan-by-Loan Level.The Journal of Fixed Income.7(1),8-21.