房貸違約損失之估算:納入所得風險考量

Default Loss of mortgage with consideration of income risk

劉育宏(Yu-Hung Liu)

指導教授 ： 索樂晴

國立清華大學/科技管理學院/計量財務金融系/碩士(2009年)

摘要

在2007發生的次級房貸風暴中，由於市場預期未來房屋價格上漲，使得金融機構低估了房貸相關商品的風險，當房屋價格走勢開始反轉且房屋貸款違約率上升時，導致各金融機構面臨未預期的損失，進而緊縮市場上的信用供給，發生金融市場的系統危機。過去在房屋貸款契約的違約事件分析，部分文獻利用結構模型在探討借款人違約行為時，違約機率與損失主要受到利率與房價二因子所影響，其中借款人的違約行為多採取利潤極大化的假設，同時卻忽視借款人的違約成本。在本研究中，希望改變借款人利潤極大化假設並且加入個人的所得風險，讓借款人的違約行為建立在沒有能力償還借款的假設下，使得結構模型從二因子增加為三因子的樣本空間，進而觀察房貸違約在不同風險下的反應。從模擬結果得知，當房貸契約與房價的參數改變時，傳統結構模型與三因子模型的違約損失與機率影響的方向一致，換言之在該類型的風險因子下，三因子模型承接了二因子模型的特性，且三因子模型卻仍捕捉到極端的條件風險值。除此之外，在觀測個人所得風險的影響中，發現貸款人錯估個人所得成長率的情況，其所隱藏的風險遠大於外部經濟發生變化的風險。因此當放款機構在評估房屋貸款放款時，除了考量總體經濟的影響外，借款人的所得成長風險將更為重要。

關鍵字

所得風險 ； 房貸違約 ； 結構模型 ； 條件風險值

並列摘要

The subprime crisis in 2007 has caused financial institutions under unexpected loss resulted from underpriced the risk of mortgage. This crisis begins with high default rate of mortgage and house price slumped and expands by its related derivatives. So far, the losses of financial institutions are so huge that has caused system risk in credit market.
In literatures, the structural approach in analysis the default behavior of mortgagors base on the difference between house price and unpaid balance that is also called two factors model. It describes default event as optimal behavior of mortgagors, but ignores the cost of default. In this work, we wish to incorporate the income risk of mortgagors into the model and view default event as mortgagors cannot honor their contracts, as a result we call it three factors model.
According to the simulation, we find out that if house price volatility and risk allowance in contracts raises, the loss of default in three factors model would increase more than two factors model. Besides, about the income risk, we use the conditional value at risk to measure the default risk of mortgage and also find out if banks misprice the income growth rate of mortgagors, it would cause most serious default loss than other income risks.

並列關鍵字

income risk ； default ； mortgage ； structural approach ； conditional Value at Risk

參考文獻

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