基于随机利率的住房反向抵押贷款定价及风险

Pricing and Risk Analysis of Reverse Mortgage Based on Stochastic Interest Rate

摘要:

将住房反向抵押贷款保险精算模型修正为动态房价和随机利率模型下的一笔支付定价模型和等额支付定价模型，并选取上海数据作为实证分析.其中房价增长率模型采用向量自回归(VAR)模型，该模型能够综合捕捉房屋价格指数和CPI，GDP宏观经济指标的相关关系并且能够进行预测.随机利率模型采用Nowman方法下的CKLS模型.进行了保险贷款机构开展住房反向抵押贷款业务的盈利分析，计算了净收益期望现值，并用VaR(value at risk)值量化保险机构的偿付能力，以及管理流动性风险.

关键词:住房反向抵押贷款; 向量自回归模型; 随机利率模型

Abstract:

This paper develops and implements a dynamic house pricing model and stochastic interest rate model for Lump sum pricing model and equal payment pricing model of reverse mortgage products for the empirical research of Shanghai. A vector autoregressive model(VAR) for economic variables including house prices index, CPI and GDP based on the data in Shanghai is used to better capture the interrelationship between economic variables and simple prediction. The Nowman’s CKLS model is also used to represent the stochastic interest rate. The present value of net pay off of Lump sum reverse mortgage to assets profitability is computed. The commonly risk measure VaR(Value at Risk) is used to analyze risk in order to give an index to solvency and liquidity.

Key words:reverse mortgage; vector autoregressive model; stochastic interest rate model