中国住房抵押贷款信用风险:理论分析与实证研究

住房抵押贷款为中国经济的持续增长增添了新的动力,随着规模扩大,其信用风险问题已经引起金融机构、政府部门及学者的关注.在分析中国房地产市场特点的基础上研究了适应中国住房抵押贷款违约的理论以及影响住房抵押贷款违约的因素,并通过采集大连市的数据进行了实证分析,首次运用实际数据来比选适应中国市场的理论模型.我们的研究发现:在中国住房抵押贷款市场上,贷款违约的还款能力理论较之于期权理论有着更好的适应性;利率、LTV、偿债比与户籍是影响住房抵押贷款违约的主要因素;也得出另外几个不同于理论假说的结论:家庭收入对借款人违约的影响力不明显,购买二手住房的借款人的违约概率要比新房高.

Default Risk of Chinese Residential Mortgage:Theoretical Research and Empirical Analysis

Residential mortgage loan has become one of engine to Chinese economy.As the loan scale extending,default risk has been growing concern.This paper analyst the feature of Chinese residential market,then we find out the most suitable theory and determinants of default risk in China.On the basis of sample data from the city of Dalian,we conclude that Ability to pay theory is more applicative iiin China.And interest rate,loan-to-value,debt servicing ratio and household registration are the major determinate factors of default behavior.Meanwhile,we also find out some phenomenon that different from the theory hypothesis,namely,the family income has less effect on default probability,and the borrower who have bought the existing housing has more default probability.