The Empirical Study Of Credit Risk Model In Individual Housing Mortgage In China

In 1998, great achievements were made in the aspect of reforms of Chinese house regime. From then on, the services of personal house mortgage loan have been developed dramatically. Individual housing mortgage loan is publicly regarded as more safe credit operations. Nevertheless, because of some characteristics of personal house mortgage loan, including that the amount is very large, its term is very long and that as the mortgage, the house is limited in the liquidity and hard to cash, therefore, it is unavoidable that there are many ventures. The credit risk based on borrowers are the most important and direct ventures that lie in front of the financial institutions. With the rapid increase of housing mortgage loans in our country, we witness a quick rise in the loan risks. Ill loan ratio in our country is obviously higher than that in the developed countries like United States and loan risk will see further increase in the future. The research of this thesis is just under this background. In this paper, some ideas were borrowed from the research results of western developed countries, meanwhile, empirical studies and theoretical analyses were made together with the combination of the methods of qualitative and quantitative analyses. Firstly, by analyzing the individual housing mortgage loan data , studying the borrower's defaulting causes, the borrower's characters ,the loan's characters ,the correlation between the default behavior and the loan characters and the alteration of the default ratio,discovering the general rule of the default behavior. Secondly, carries through the empirical research by using the option-based model and the proportional hazard model, analyses the main risk factors, induces the mechanism of the borrower's default behavior and gets the main default equity variables and the hazard function. This thesis manifests:(1)The proportional hazard can well capture the influence to risk rate by the loan characters . (2) The computation of the option-based model represent slightly higher than actual performance because the housing mortgage loan has just developed for a short term and has not got a completely cycle.