生存分析法研究住房抵押贷款违约风险影响因素.pdf

生存分析法研究住房抵押贷款违约风险影 响因素 陈勇，海霞* 5 （湖南大学金融与统计学院，长沙 410079 ） 摘要：住房抵押贷款违约风险研究对我国商业银行风险管理具有重要意义，为研究住房抵押 贷款违约风险的影响因素，本文构建了Cox 模型，用生存分析法从借款人特征、贷款特征、 房屋特征三个维度对住房抵押贷款违约风险的影响因素进行了计量分析，模型拟合度较好， 10 计量结果较为显著，最终得出月还款额占月收入比、学历水平、利率、首付比例、面积、月 还款额、月收入额、房子价值、贷款金额都对住房抵押贷款违约风险有显著影响，其中月还 款额占月收入比的影响最大。 关键词：金融学；住房抵押贷款；生存分析法；影响因素；Cox 模型 中图分类号：F832.4 15 Research The Factor of Default Risk of Housing Mortgage Loan by survival analysis CHEN Yong, HAI Xia (Finance and statistics School ，Hunan University ，ChangSha 4 10079) 20 Abstract : Residential mortgage default risk research is of great significance to the risk management of commercial banks of China, to study the effect of Residential mortgage default risk factors, this paper constructs the Cox model, with survival analysis from loan borrower characteristics, features, building three dimensions of the housing mortgage loan default risk factors affecting the measurement analysis,the model fits good, the measuring result is significant, 25 finally it is concluded that monthly payments of income, education level, interest rates, down payment proportion, area, monthly payments, monthly income, the house value, the loan amount all have significant effects on residential mortgage default risk, and monthly payments to income is most effective. Key words: Finance;Residential Mortgage;Survival Analysis;Effective Factor;Cox Model 30 0 引言 住房抵押贷款是目前我国各项个人抵押贷款中所占比例最重的一种。随着我国资本市场 化进程的加速，企业融资的方式将从侧重于债权融资转向侧重于股权融资。这就意味着对商 业银行而言，贷款这一资产业务的重点将从企业贷款转向个人抵押贷款。而作为个人抵押贷 款中比例颇重的住房抵押贷款对商业银行来说也就更加重要。截止2015 年底，个人购房贷 35 款余额为14.85 万亿元，同比增长28.9%，增速高于同期各项贷款增速4.1 个百分点。就目