The Measurement And Applied Research Of The Personal Housing Mortgage Loans To Credit Risk Based On Merton Model

Since 98 years China's real estate industry has been developing rapidly. On the one hand residents of housing consumption of urban residents in China has become the most important consumer spending items; The other hand, the state will boost domestic demand as an important real estate on the real estate industry has become China's rapid economic growth, an important pillar industries. In this process, bank credit has played a catalytic role, and further promoted the rapid development of the real estate industry. Growth rate of personal housing mortgage loan business high-speed development of the situation presented. However, with the U.S. sub-prime crisis from occurring, and quickly spread to the global economy, to enable countries commercial banks personal housing mortgage loan credit risk dominance. In addition, China's personal credit system, risk control system and other aspects and developed countries, the gap is also great, if there are problems results will be even more serious.At present, China's financial sector and the academic community has been generally recognized that strengthening the personal housing mortgage defaults the importance of risk management. However, domestic financial sector mainly focus on pre-loan review of management, the borrower's credit rating still remains in the empirical judgments, approving the subjective excessive post-loan management and no effective way to quantify the risk management is a more fundamental blank; Academic studies have focused mainly on the domestic qualitative analysis, research and analysis from a different dimension to the impact of individual housing mortgage credit risk factors. In this paper, the starting assumption of rational economic man, trying to merton model as the theoretical basis, try to establish a set of China's commercial banks mortgage credit risk measurement indicator system, and in this model within the framework of an analysis on the personal housing mortgage credit risk element.Based on the analysis put forward the following assumptions:(1) real estate market flow without friction, there are no transaction costs; (2) Housing values obey log-normal distribution; (3) option period (usually one month), risk-free interest rates and housing value fluctuations in growth rate is constant; (4) of the put option as a European-style options; (5) Real estate transactions can be carried out continuously. In these assumptions, based on an amendment to the merton model and simulation through a case of commercial banks personal housing mortgage loans to credit risk management, quantitative indicators, leads to the following points:(1) On one hand, the assumption of rational economic man, banks faced the risk of mortgage loans was mainly a rational risk of default. (2) The mortgage is essentially a series of European put options and risk-free bond portfolio. As a creditor banks, which issued the equivalent of a mortgage loan balances held by a number of risk-free bonds for the face value of the long and the exercise price for the loan balance of the value of the put options on housing consisting of short portfolio. The European put option period subject to the mortgage loan repayments to decide. (3) in the long term growth rate of housing values obey log-normal distribution. Short-term analysis of China's real estate market, housing prices show steady growth, growth rate, has a normal distribution characteristics, but there are also high kurtosis, fat tail deviation. However, with the development of China's real estate market, as well as national macro-control measures such as control, China's real estate market will become mature, the supply structure will be more reasonable growth rate of housing values will tend to normal distribution. (4) In this paper, research established a probability of default (PD), expected loss (EDL), the credit spread (p) and the remaining period (T) as an indicator system of mortgage credit risk evaluation index system. (5) The credit risk of mortgage loans subject to many factors. We found that the credit risk of mortgage loans by the down payment ratio, market interest rates, risk-free interest rates, housing value fluctuations in growth rates and repayment methods factors.Finally, according to this article concluded that targeted a number of recommendations:(1) specification and improve the real estate market, especially in the secondary real estate market. (2) Commercial banks need to improve credit risk management system. (3) Commercial banks need to establish a risk compensation mechanism. (4) To improve and standardize the value of the collateral identification and tracking of measurement instruments. In this paper the research needs of the strict assumptions do support, but not the reality of the market to meet such harsh conditions. In addition, because data is missing, this conclusion is also difficult to pass the real test of the data. These problems can only be the future development of the market stagnation deepened subsequently resolved.