Empirical Research On The Influencing Factors And The Prediction Model Of Mortgage Prepayments

In recent years, the mortgage market in China has been witnessing a fast development, at the same time, prepayment risk is enlarged continuously. In this situation, the banking either endures the risk silently or takes restriction passively, which will decrease the efficiency and income of funds seriously. Simultaneously, with the issue of mortgage-backed security in 2005, the reasonable pricing of it has become a decisive factor in its development, moreover, the key step of pricing lies in estimating prepayment accurately. It is thus clear that, strengthening the study on the prepayment risk of mortgage has become an urgent matter of the moment. Based on the international and domestic research result, this paper uses the quantitative method to study on prepayment. According to factor analysis and discriminant analysis of multivariate statistics, the paper tries to find out the major influencing factors of mortgage's prepayment of China, and then establish econometric model of prepayment to predict the prepayment risk. From the study, we discover that the main influencing factors of our mortgage's prepayment include the characteristic factors of mortgage, the characteristic factors of economic environment, the characteristic factors of mortgage's borrower and the characteristic factors of house, we can divide them into 8 factors, namely, the interest rate factor, the partial prepayment factor, the loan to value factor, the time process factor, the borrower's gender factor, the borrower's age factor, the borrower's financial position factor and the category factor of borrower's work; From the established prepayment models, we find out that nonlinear logistic function can predict more accurately than linear discriminant function as a whole, but discriminant function can predict more accurately on prepayment mortgage, therefore we can say that the former is a conservative model and the latter is a radical one.