The Empirical Research On Prepayment Risk Of Housing Mortgage Loan

After China's reform of housing system in 1998, the real estate market develops rapidly, promoting the prosperity of housing mortgage market. By the end of June in 2007, the commercial personal housing mortgage loans of financial institutions in the whole country have increased from 19 billion Yuan in 1997, to 2, 572 billion which grow 135 times in less than 10 years. Under the background of property market and house prices rising, the potential risks in mortgage market increasingly become prominent, mainly for the default risk, interest rate risk, liquidity risk, prepayment risk. Because the time of housing mortgage development is short and the duration of loans is long, the default risk is not very clear; the interest rate risk and liquidity risk are closely connected with prepayment risk, and focus on the prepayment risk. So the prepayment risk becomes increasingly prominent risk among the housing mortgage at present. But commercial banks are tolerant and the attention to prepayment risk is not enough, which make the prepayment risk has serious impact on the bank and mortgage securitization. Since the time of housing mortgage development is short and the research on prepayment risk is not systematic and mature especially the relative empirical research is scarcer. Therefore, it is theoretical and practical significantly for commercial banks to strength mortgage risk and to smooth development of mortgage securitization by researching prepayment risk, accurately grasping key factors, occurrence law and probability and constructing forecasting model.This paper first cards the relative research on prepayment risk detailed homely and abroad by using comparative analysis, the survey and research method and empirical research combined with actual conditions. Then theoretically analyzes the prepayment risk mechanism and impact, the prepayment risk based on the option theory and the utility maximization of borrower, and analyzes the main factors affecting the characteristics, loan features, and season and region features four dimensions. Then the article puts forward the theoretical assumptions for empirical research by quantifying the relevant variables and descriptive statistics. Under the guidance of early repayment option theory and utility maximization of the borrower, the empirical research first analyzed the time principle, the elasticity of time interest rate and the change of prepayment amount principle,then extracts the selecting variables of loan amount house price factor, age and marriage factor, loan deadline factor, qualification factor, construction area factor, the interest rate and prepayment method factor of loan, the finance factor of borrower, sex factor, career factor, and the nine factors. The discriminant analysis and logistic forecasting model show that the key factors affecting prepayment risk are loan characteristics, qualification factor, the finance factor of borrower, construction area factor and sex factor, it's to say the interest rate of loan, loan percentage, loan deadline, prepayment method, the qualification of borrower, persona monthly income, sex and construction area are the key factors of deciding prepayment risk of mortgage loans.Finally, according to the results of theoretical analysis and empirical research, this paper pus forward the importance of strength the audit before crediting, designing the additive option of loan contract and the prepayment penalty point mechanism of after-loan-to-the risk management, which provide a reference and basis for commercial banks to manage the prepayment risk of mortgage loan.