| 住房抵押贷款违约风险分析 |
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| 引用本文： | 江良,潘素娟.住房抵押贷款违约风险分析[J].莆田学院学报,2007,14(5):21-24,102. |
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| 作者姓名： | 江良 潘素娟 |
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| 作者单位： | 莆田学院,数学与应用数学系,福建,莆田,351100 |
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| 基金项目： | 国家自然科学基金;福建省人才基金;福建省教育厅科研项目 |
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| 摘 要： | 指出住房抵押贷款违约概率研究的重要性。主要考虑基于Merton的结构模型来度量这种违约事件发生的概率。假设收入服从几何布朗运动,给出了精确的违约概率表达式,最后通过数值模拟的结果来验证这个模型的有效性。
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| 关 键 词： | 违约概率 住房抵押贷款 几何布朗运动 |
| 文章编号： | 1672-4143（2007）05-0021-04 |
| 修稿时间： | 2007-03-08 |
Default Risk on Housing Mortgage Loans |
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| JIANG Liang,PAN Su-juan.Default Risk on Housing Mortgage Loans[J].journal of putian university,2007,14(5):21-24,102. |
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| Authors: | JIANG Liang PAN Su-juan |
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| Abstract: | Stressing the importance of the research into default probability on housing mortgage loans,in this paper we mainly present a model to reflect the choice of mortgagor as well as its attitude towards risk. Assumption wages following Geometry Brownian Motion,we present the precise model of the default probability,and confirm the theoretical results by the numerical results through wages growth simulating. |
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| Keywords: | default probability housing mortagage loan Gemotric Brownian Motion |
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